Pricing distressed CDOs with stochastic recovery (Q541587)

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scientific article
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English
Pricing distressed CDOs with stochastic recovery
scientific article

    Statements

    title
    Pricing distressed CDOs with stochastic recovery (English)
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    author
    Stephan Höcht
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    Rudi Zagst
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    publication date
    7 June 2011
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    zbMATH Keywords
    CDO
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    nested archimedean copula
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    stochastic recovery
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G80
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    91G20
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    91G30
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    zbMATH DE Number
    5904984
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    OpenAlex ID
    W2039839615
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