Basket default swaps, CDOs and factor copulas

Jean-Paul Laurent () and Jon Gregory
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Jean-Paul Laurent: ISFA - Institut de Science Financière et d'Assurances
Jon Gregory: BNP-Paribas

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Date: 2005-06
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Citations: View citations in EconPapers (56)

Published in The Journal of Risk, 2005, 7 (4), pp.1-20. ⟨10.21314/JOR.2005.115⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679517

DOI: 10.21314/JOR.2005.115

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