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International Journal of Applied Management Science
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Copula based simulation procedures for pricing collateralised debt obligations
Abid, Fathi
;
Naifar, Nader
- In:
International Journal of Applied Management Science
2
(
2010
)
3
,
pp. 239-261
portfolio
losses
. Gaussian copulas and Monte Carlo simulation are widely used to measure the default risk in basket credit …
Persistent link: https://www.econbiz.de/10008755261
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