A factor-copula based valuation of synthetic CDO-squared under a stochastic intensity (Q3395482)
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scientific article; zbMATH DE number 5601222
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| English | A factor-copula based valuation of synthetic CDO-squared under a stochastic intensity |
scientific article; zbMATH DE number 5601222 |
Statements
1 September 2009
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factor copula
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CIR intensity model
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index tranche
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CDO-squared
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0.7787103056907654
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0.7750149369239807
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0.7552042007446289
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0.7524882555007935
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0.7465373873710632
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