Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models

DOI10.1080/14697680802464428zbMath1182.91077OpenAlexW2077535197MaRDI QIDQ3404101

Dirk Prange, Wolfgang Scherer

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22134

zbMATH Keywords

copulascredit derivativescorrelation modelingcredit models

Mathematics Subject Classification ID

Related Items (2)

Convergence of Archimedean copulas ⋮ A Compendium of Copulas

Cites Work

• ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH

This page was built for publication: Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models