On default correlation and pricing of collateralized debt obligation by Copula functions

International Journal of Information Technology and Decision Making

Volumn 5, Issue 3, 2006, Pages 483-493

  Li, Ping ^a   Chen, Housheng ^a   Deng, Xiaotie ^b   Zhang, Shunming ^c  

^a BEIHANG UNIVERSITY   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c VICTORIA UNIVERSITY OF WELLINGTON   (New Zealand)

Author keywords

Collateralized debt obligation (CDO); Copula; Default correlation; Multi name credit derivatives; Recovery rate

Indexed keywords

EID: 33749374571     PISSN: 02196220     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219622006002076     Document Type: Article

References (11)

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