Joint distributions of portfolio losses and exotic portfolio products (Q5169989)
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scientific article; zbMATH DE number 6317936
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| English | Joint distributions of portfolio losses and exotic portfolio products |
scientific article; zbMATH DE number 6317936 |
Statements
JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS (English)
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17 July 2014
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CDOs
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correlation modelling
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path-dependent portfolio derivatives
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0.7283248901367188
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0.7252652645111084
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0.7200366258621216
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0.7085701823234558
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0.7043300867080688
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