Empirical copulas for CDO tranche pricing using relative entropy (Q5169985)
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scientific article; zbMATH DE number 6317934
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| English | Empirical copulas for CDO tranche pricing using relative entropy |
scientific article; zbMATH DE number 6317934 |
Statements
EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY (English)
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17 July 2014
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portfolio credit risk
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CDO
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copula
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entropy
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nonparametric estimation
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0.7963899970054626
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0.7922355532646179
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0.7897165417671204
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0.7790311574935913
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0.76602703332901
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