Numerical methods to quantify the model risk of basket default swaps (Q2453103)
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scientific article; zbMATH DE number 6301496
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Numerical methods to quantify the model risk of basket default swaps |
scientific article; zbMATH DE number 6301496 |
Statements
Numerical methods to quantify the model risk of basket default swaps (English)
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6 June 2014
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model-risk
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basket default swap
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importance sampling
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credit derivative sensitives
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Archimedean copula
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0.8442735075950623
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0.8208099603652954
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0.8070344924926758
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0.8045514822006226
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0.796286940574646
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