Technische Universität München (TUM)
Power Plant Valuation, Spread Options, Model Risk
Stepwise default simulation, default modeling, credit modeling, default dependence, default correlation, default simulation, arrival times, credit risk, Marshall-Olkin distribution, nested margining, Freund distribution, looping default models
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2795596.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Bernstein Function, Bondesson Class, Bromwich Inversion, Contour Transformation, Laplace Inversion, Lévy Subordinator
CDO, Implied correlation, Gaussian copula model
Alternative Investments, Portfolio Selection, Trading Strategy, Product Innovations, CPPI, Portfolio Optimization, Portfolio Insurance
Lévy subordinator, Cuadras-Augé copula, CDO pricing, portfolio-loss process, multivariate default model
This page was processed by aws-apollo1 in 0.266 seconds