An empirical study of pricing and hedging collateralized debt obligation (CDO)
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Publication:3572007
DOI10.1016/S0731-9053(08)22002-5zbMath1189.91202OpenAlexW26973710MaRDI QIDQ3572007
Zhonghui Zhao, Kian-Guan Lim, Lijuan Cao, Zhang Jingqing
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(08)22002-5
Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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