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Hu et al., 2008 - Google Patents

The skewed t

Hu et al., 2008

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Document ID
4573144681722419700
Author
Hu W
Kercheval A
Publication year
Publication venue
Econometrics and risk management

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Snippet

Portfolio credit derivatives, such as basket credit default swaps (basket CDS), require for their pricing an estimation of the dependence structure of defaults, which is known to exhibit tail dependence as reflected in observed default contagion. A popular model with this …
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