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A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs
A Simple Dynamic Model for Pricing and Hedging Heterogeneous CDOs
2012
Andrei V. Lopatin
Tomasz R. Bielecki
Damiano Brigo
Fédéric Patras
Keywords:
Business
Credit derivative
Credit default swap
iTraxx
Collateralized debt obligation
Credit default swap index
Derivative (finance)
Hedge (finance)
Copula (probability theory)
Finance
Financial economics
Econometrics
Correction
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