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Dynamic Copula Processes: A new Way of Modelling CDO Tranches

Daniel Totouom Tangho 1 Margaret Armstrong 1
1 CERNA i3 - Centre d'économie industrielle i3
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https://hal-mines-paristech.archives-ouvertes.fr/hal-00842103
Contributor : Bibliothèque Mines Paristech <>
Submitted on : Sunday, July 7, 2013 - 6:10:42 PM
Last modification on : Thursday, September 24, 2020 - 4:58:02 PM

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Daniel Totouom Tangho, Margaret Armstrong. Dynamic Copula Processes: A new Way of Modelling CDO Tranches. Thomas B. Fomby, Jean-Pierre Fouque, and Knut Solna. Econometrics and Risk Management, Emerald, pp.85-102, 2008, Advances in Econometrics v. 22, 9781848551961. ⟨hal-00842103⟩

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