EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY
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Publication:5169985
DOI10.1142/S0219024907004391zbMath1291.91222MaRDI QIDQ5169985
E. A. Medova, Seung W. Yang, Michael A. H. Dempster
Publication date: 17 July 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024907004391
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
62H05: Characterization and structure theory for multivariate probability distributions; copulas
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
91G40: Credit risk
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