Stochastic Intensity Modeling For Structured Credit Exotics
In: Credit Correlation Life After Copulas
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Cited by:
- Balakrishna, B S, 2010. "Levy Subordinator Model of Default Dependency," MPRA Paper 21386, University Library of Munich, Germany.
- Balakrishna, B S, 2010. "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper 26274, University Library of Munich, Germany.
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Keywords
Credit Derivatives; Gaussian Copulas; Tranches; Credit Baskets; Base Correlations;All these keywords.
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