Valuation of portfolio loss derivatives in an infectious model (Q2888095)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Valuation of portfolio loss derivatives in an infectious model |
scientific article; zbMATH DE number 6039577
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuation of portfolio loss derivatives in an infectious model |
scientific article; zbMATH DE number 6039577 |
Statements
30 May 2012
0 references
credit risk
0 references
contagion model
0 references
dependent defaults
0 references
default distribution
0 references
exchangeability
0 references
CDO tranches
0 references
0.8252098560333252
0 references
0.7951750755310059
0 references
0.7939700484275818
0 references
0.7875792980194092
0 references
0.7793329358100891
0 references
