Modeling the evolution of implied CDO correlations
dc.contributor.author
Hofert, Marius
dc.contributor.author
Scherer, Matthias
dc.contributor.author
Zagst, Rudi
dc.date.accessioned
2017-06-09T08:43:30Z
dc.date.available
2017-06-09T08:43:30Z
dc.date.issued
2010-09
dc.identifier.issn
1555-4961
dc.identifier.issn
1555-497X
dc.identifier.other
10.1007/s11408-010-0136-8
dc.identifier.uri
http://hdl.handle.net/20.500.11850/28233
dc.identifier.doi
10.3929/ethz-b-000028233
dc.format
application/pdf
dc.language.iso
en
dc.publisher
Springer
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
CDO
dc.subject
Implied correlation
dc.subject
Gaussian copula model
dc.title
Modeling the evolution of implied CDO correlations
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
Financial markets and portfolio management
ethz.journal.volume
24
ethz.journal.issue
3
ethz.pages.start
289
ethz.pages.end
308
ethz.version.deposit
publishedVersion
ethz.notes
Published online 30 June 2010. It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
ethz.identifier.nebis
000983945
ethz.publication.place
Heidelberg
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-09T08:43:59Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d86274d235340
ethz.ecitpid
pub:47286
ethz.eth
yes
ethz.availability
Open access
ethz.rosetta.installDate
2017-08-03T09:02:04Z
ethz.rosetta.lastUpdated
2022-03-28T09:17:36Z
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