Work

Valuation of collateralized debt obligations with hierarchical Archimedean copulae

Year: 2013

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2013.08.001

Authors: Barbara Choroś-Tomczyk, Wolfgang Karl Härdle, Ostap Okhrin

Institutions: Humboldt-Universität zu Berlin, Singapore Management University

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2045950332

FWCI: 5.819

Cites: 44

Cited by: 21

Related to: 10