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Copula functions in pricing credit baskets
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Journal Title
Journal ISSN
Volume Title
Helsinki University of Technology |
Master's thesis
Electronic archive copy is available via Aalto Thesis Database.
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Date
2008
Department
Matematiikan ja systeemianalyysin laitos
Major/Subject
Sovellettu matematiikka
Mcode
Mat-2
Degree programme
Language
en
Pages
v + 69
Series
Description
Supervisor
Salo, AhtiThesis advisor
Salminen, TimoKeywords
collatreralized debt obligation, Copula, credit default swap, vakuudellinen velkakirja, correlation, CDO, calibration, luottoriskinvaihtosopimus, CDS, korrelaatio, kalibrointi