Archived publication

Archived publication

Modeling collateralized debt obligations: A copula approach

Sætre, Tormod

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