On Default Correlation and Pricing of Collateralized Debt Obligation by Copula Functions.
https://doi.org/10.1142/S0219622006002076
@article{DBLP:journals/ijitdm/LiCDZ06,
author = {Ping Li and
Hou{-}Sheng Chen and
Xiaotie Deng and
Shunming Zhang},
title = {On Default Correlation and Pricing of Collateralized Debt Obligation
by Copula Functions},
journal = {Int. J. Inf. Technol. Decis. Mak.},
volume = {5},
number = {3},
pages = {483--494},
year = {2006},
url = {https://doi.org/10.1142/S0219622006002076},
doi = {10.1142/S0219622006002076},
timestamp = {Fri, 27 Mar 2020 08:45:03 +0100},
biburl = {https://dblp.org/rec/journals/ijitdm/LiCDZ06.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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