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A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

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https://hal-paris1.archives-ouvertes.fr/hal-03676448
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Monday, May 23, 2022 - 11:43:00 PM
Last modification on : Tuesday, May 24, 2022 - 3:03:27 AM

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X. Burtschell, Jonathan Gregory, Jean-Paul Laurent. A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework. Journal of Derivatives, 2009, 16 (4), pp.9-37. ⟨10.3905/JOD.2009.16.4.009⟩. ⟨hal-03676448⟩

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