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Author
Hofert, Marius
Scherer, Matthias
Date
2011Type
- Journal Article
Publication status
publishedJournal / series
Quantitative FinanceVolume
Pages
Publisher
Routledge; Taylor & FrancisSubject
Nested Archimedean copula; Hierarchial dependence structure; CDO; Monte-Carlo pricingOrganisational unit
03288 - Embrechts, Paul
Notes
Received 13 February 2008, In final form 18 November 2009.More
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