A tractable multivariate default model based on a stochastic time-change

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 2, 2009, Pages 227-249

  Mai, Jan Frederik ^a   Scherer, Matthias ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

CDO pricing; Cuadras Aug copula; L vy subordinator; Multivariate default model; Portfolio loss process

Indexed keywords

EID: 67249118082     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005208     Document Type: Article

References (26)

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