INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (Q5299994)

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scientific article; zbMATH DE number 6180166
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INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
scientific article; zbMATH DE number 6180166

    Statements

    title
    INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (English)
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    author
    Stéphane Crépey
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    Dongli Wu
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    publication date
    24 June 2013
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    zbMATH Keywords
    Gaussian copula
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    dynamic copula
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    credit derivatives
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    counterparty risk
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    CVA
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    hedging
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    91G40
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    91G20
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    91G10
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    zbMATH DE Number
    6180166
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