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Journal Articles Journal of Derivatives Year : 2009

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

X. Burtschell
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Jonathan Gregory
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hal-03676448 , version 1 (23-05-2022)

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X. Burtschell, Jonathan Gregory, Jean-Paul Laurent. A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework. Journal of Derivatives, 2009, 16 (4), pp.9-37. ⟨10.3905/JOD.2009.16.4.009⟩. ⟨hal-03676448⟩

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