Modelling credit default swap spreads by means of normal mixtures and copulas

Applied Mathematical Finance

Volumn 11, Issue 2, 2004, Pages 125-146

  Bee, Marco ^a  

^a Intesa Sanpaolo SpA   (Italy)

Author keywords

Copula; Credit default swap spread; Finite mixture distributions; Non parametric bootstrap

Indexed keywords

EID: 2942525652     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486042000218420     Document Type: Article

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