Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model (Q2018976)
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scientific article; zbMATH DE number 6419848
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| English | Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model |
scientific article; zbMATH DE number 6419848 |
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Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model (English)
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26 March 2015
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CDO pricing
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mixture copula model
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stochastic correlation
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random factor loadings
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0.910192608833313
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0.8997043371200562
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0.8156605362892151
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0.7969084978103638
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0.7942147254943848
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