A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

X. Burtschell, Jonathan Gregory and Jean-Paul Laurent ()
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X. Burtschell: BNP-Paribas
Jean-Paul Laurent: ISFA - Institut de Science Financière et d'Assurances

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Date: 2009-05-31
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Citations: View citations in EconPapers (14)

Published in Journal of Derivatives, 2009, 16 (4), pp.9-37. ⟨10.3905/JOD.2009.16.4.009⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03676448

DOI: 10.3905/JOD.2009.16.4.009

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