Copula-based factor model for credit risk analysis
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
http://link.springer.com/article/10.1007/s11156-016-0613-x/fulltext.html
Reference46 articles.
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3. Amraoui S, Cousot L, Hitier S, Laurent JP (2012) Pricing CDOs with state-dependent stochastic recovery rates. Quant Financ 12:1219–1240
4. Andersen LB, Sidenius J (2004) Extensions to the Gaussian copula: random recovery and random factor loadings. J Credit Risk 1:29–70
5. Ang A, Bekaert G (2002) International asset allocation with regime shifts. Rev Financ Stud 15:1137–1187
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