Synthetic CDO pricing using the Student t factor model with random recovery

Yuri Goegebeur, Tom Hoedemakers, Jurgen Tistaert

Research output: Contribution to conference without publisher/journalPaperResearch

Original languageEnglish
Publication date2007
Number of pages7
Publication statusPublished - 2007
EventThird Brazilian Conference on Statistical Modelling in Insurance and Finance - Maresias, Brazil
Duration: 25. Mar 200730. Mar 2007

Conference

ConferenceThird Brazilian Conference on Statistical Modelling in Insurance and Finance
CountryBrazil
CityMaresias
Period25/03/200730/03/2007

Cite this

Goegebeur, Y., Hoedemakers, T., & Tistaert, J. (2007). Synthetic CDO pricing using the Student t factor model with random recovery. Paper presented at Third Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil.