A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS (Q3632193)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS |
scientific article |
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A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS (English)
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23 June 2009
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CDO
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credit derivatives
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Markov chain
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correlation
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Laplace transform
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copula
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default risk
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