CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
DOI10.1016/j.jmaa.2008.08.048zbMath1157.91015OpenAlexW1965238617MaRDI QIDQ2517674
Xuezhi Qin, Tian Chen, Ruicheng Yang
Publication date: 8 January 2009
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.08.048
CDOloss distributionstochastic correlation\(\mathcal M_{G-\mathcal{NI}G}\) copula modelrandom factor loading
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)
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