Valuing credit derivatives using an implied copula approach

Journal of Derivatives

Volumn 14, Issue 2, 2006, Pages 8-28

  Hull, John C ^a   White, Alan D ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85016583218     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2006.667547     Document Type: Article

References (12)

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12. Walker, M. "CDO Models-Towards the Next Generation: Incomplete Markets and Term Structure." Working Paper, University of Toronto, 2006.