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Basket default swaps, CDOs and factor copulas

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https://hal-paris1.archives-ouvertes.fr/hal-03679517
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 5:11:27 PM
Last modification on : Friday, May 27, 2022 - 3:02:27 AM

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Jean-Paul Laurent, Jon Gregory. Basket default swaps, CDOs and factor copulas. The Journal of Risk, 2005, 7 (4), pp.1-20. ⟨10.21314/JOR.2005.115⟩. ⟨hal-03679517⟩

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