On the term structure of loss distributions: a forward model approach (Q5169990)
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scientific article; zbMATH DE number 6317937
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| English | On the term structure of loss distributions: a forward model approach |
scientific article; zbMATH DE number 6317937 |
Statements
ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH (English)
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17 July 2014
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CDO pricing
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copula model
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forward copula
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copula chain
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CDO term structure
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forward base correlations
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0.7735800743103027
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0.7662777304649353
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0.7389160990715027
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0.726676881313324
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0.725181519985199
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