Correlation expansions for CDO pricing

Journal of Banking and Finance

Volumn 31, Issue 5, 2007, Pages 1375-1398

  Glasserman, Paul ^a   Suchintabandid, Sira ^a  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

Author keywords

CDO's; Copulas; Default risk; Factor models; Multifactor

Indexed keywords

EID: 34147176017     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.10.018     Document Type: Article

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