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A comparative analysis of CDO pricing models under the factor copula framework
Burtschell, Xavier; Gregory, Jon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 9-37
Persistent link: https://www.econbiz.de/10003862752
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Building models for credit spreads
Arvanitis, Angelo; Gregory, Jonathon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 27-43
Persistent link: https://www.econbiz.de/10001432491
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A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
Burtschell, X.; Gregory, J.; Laurent, J.-P. - In: The journal of derivatives : the official publication … 16 (2009) 4, pp. 9-37
Persistent link: https://www.econbiz.de/10008311632
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BUILDING MODELS FOR CREDIT SPREADS
Arvanitis, Angelo; Gregory, Jonathon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 27-43
Persistent link: https://www.econbiz.de/10007342806