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Schlösser, 2011 - Google Patents

Pricing and risk management of synthetic CDOs

Schlösser, 2011

Document ID
18158629438168567930
Author
Schlösser A
Publication year

External Links

Snippet

This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the …
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