Pricing CDOs with state-dependent stochastic recovery rates (Q2873547)
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scientific article; zbMATH DE number 6250086
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing CDOs with state-dependent stochastic recovery rates |
scientific article; zbMATH DE number 6250086 |
Statements
Pricing CDOs with state-dependent stochastic recovery rates (English)
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24 January 2014
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copulas
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correlation structures
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credit derivatives
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credit models
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insurance mathematics
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0.8439745903015137
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0.7728092074394226
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0.769600510597229
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0.7657438516616821
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0.7643908858299255
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