Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models (Q3404101): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models |
scientific article |
Statements
Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models (English)
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5 February 2010
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copulas
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correlation modeling
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credit derivatives
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credit models
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