CDO pricing with nested Archimedean copulas
METADATA ONLY
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Author / Producer
Date
2011
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
1 (1)
Pages / Article No.
1 - 13
Publisher
Routledge
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Nested Archimedean copula; Hierarchial dependence structure; CDO; Monte-Carlo pricing
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Received 13 February 2008, In final form 18 November 2009.