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~subject:"One factor Gaussian copula"
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One factor Gaussian copula
Basket Default Swaps
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Monte Carlo method
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t-student copula
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Collateralized Debt Obligations
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Copula based simulation procedures for pricing basket Credit Derivatives
Fathi, Abid
;
Nader, Naifar
-
Volkswirtschaftliche Fakultät, …
-
2007
pricing of basket credit derivatives. An alternative to the Gaussian copula is Clayton copula and
t-student
copula
under …
Persistent link: https://www.econbiz.de/10005622056
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