EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY (Q5169985): Difference between revisions
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scientific article; zbMATH DE number 6317934
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY |
scientific article; zbMATH DE number 6317934 |
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EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY (English)
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17 July 2014
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portfolio credit risk
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CDO
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copula
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entropy
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nonparametric estimation
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