Correlation smile matching for collateralized debt obligation tranches with \(\alpha \)-stable distributions and fitted Archimedean copula models (Q3404101)
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scientific article; zbMATH DE number 5667270
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| English | Correlation smile matching for collateralized debt obligation tranches with \(\alpha \)-stable distributions and fitted Archimedean copula models |
scientific article; zbMATH DE number 5667270 |
Statements
Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models (English)
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5 February 2010
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copulas
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correlation modeling
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credit derivatives
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credit models
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0.8306946158409119
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0.8275963664054871
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0.8052296042442322
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0.7977834939956665
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