Valuation and risk analysis of synthetic collateralised debt obligations: a copula function approach
Year of publication: |
2004
|
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Authors: | Li, David ; Skarabot, Jure |
Published in: |
Credit derivatives : the definitive guide. - London : Risk Books [u.a.], ISBN 1-904339-12-3. - 2004, p. 287-312
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Subject: | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Asset-Backed Securities | Asset-backed securities | Kreditrisiko | Credit risk | Derivat | Derivative | Risikomanagement | Risk management |
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