Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing (Q2355189)
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scientific article; zbMATH DE number 6460732
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| English | Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing |
scientific article; zbMATH DE number 6460732 |
Statements
Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing (English)
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21 July 2015
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OR banking
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convex optimization
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convex-concave-convex probability
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distribution
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implied copula
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CDO pricing
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0.7414135932922363
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0.736868143081665
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0.7142878174781799
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0.7114766836166382
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0.6944317817687988
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