Pricing of CDOs based on the multivariate Wang transform
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- Belzunce, Félix & Suárez-Llorens, Alfonso & Sordo, Miguel A., 2012. "Comparison of increasing directionally convex transformations of random vectors with a common copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 385-390.
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Keywords
One-factor Gaussian copula model Merton's structural model Multivariate Wang transform Student t copula;Statistics
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