A research of default correlation in collateralized debt obligation pricing (Q3193422)
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scientific article; zbMATH DE number 6500338
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A research of default correlation in collateralized debt obligation pricing |
scientific article; zbMATH DE number 6500338 |
Statements
28 October 2015
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default correlation
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pair copula
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Monte Carlo simulation
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fair spread
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0.8275254368782043
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0.7885833978652954
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0.7858747243881226
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0.7768712043762207
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0.7742938995361328
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