Correlation at First Sight
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- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
- Giesecke, Kay & Weber, Stefan, 2003. "Cyclical correlations, credit contagion, and portfolio losses," SFB 373 Discussion Papers 2003,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Claudio, Ferrarese, 2006. "A comparative analysis of correlation skew modeling techniques for CDO index tranches," MPRA Paper 1668, University Library of Munich, Germany.
- Gong, Xiao-Li & Xiong, Xiong, 2021. "Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence," Finance Research Letters, Elsevier, vol. 38(C).
- Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
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