Archived publication
Archived publication
Modeling collateralized debt obligations: A copula approach
June 27, 2007
SAMBA
- Areas: Finance, insurance and commodity markets
- Keywords: credit risk, CDO, Vasicek, NIG, copula
- Page(s):
- Name and number of project: 830105-FIR
- Title: Modeling collateralized debt obligations: A copula approach
- Author(s): Sætre, Tormod
- Report number: SAMBA/25/07
- Published date: June 27, 2007