RISE AND FALL OF SYNTHETIC CDO MARKET: LESSONS LEARNED

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Publication:4602495

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DOI10.1142/S0219024917500522zbMath1395.62323OpenAlexW2769064309MaRDI QIDQ4602495

Juliusz Jabłecki

Publication date: 11 January 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500522

zbMATH Keywords

financial crisis CDO default correlation systematic risk Marshall-Olkin copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (2)

A conjugated version of the countable dense homogeneity ⋮ Measure preserving homeomorphism of the Hilbert cube embedding the pseudo-boundary into the pseudo-interior

Cites Work

Point processes and queues. Martingale dynamics

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