Copula functions in pricing credit baskets
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Helsinki University of Technology |
Diplomityö
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Instructions for the author
Authors
Holma, Ville
Date
2008
Department
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