Solbjerg Plads 3
Frederiksberg C, DK - 2000
Copenhagen Business School - Department of Finance
in Total Papers Downloads
in Total Papers Citations
CPDO, credit risk, top down models, credit rating, structured product, credit derivatives
Barrier options, risk-management, valuation, empirical performance
Default risk, default prediction, distance-to-default, stochastic volatility
CPPI, gap risk, discrete portfolio rebalancing, Sortino ratio, kinked CRRA utility
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