A comparative analysis of correlation skew modeling techniques for CDO index tranches
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More about this item
Keywordsdefault risks; CDOs; index tranches; factor model; copula; correlation skew; stochastic correlation;
All these keywords.
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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