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- W2183658970 abstract "We present an alternative to the standard Gaussian copula model for valuing CDO tranches and other similar instruments. Instead of implying copula correlations from market prices we imply a probability distribution for hazard rate paths. Our model can be exactly fitted to the market quotes for actively traded CDO tranches. It is easy to understand and is a useful tool for pricing, trading, and risk management." @default.
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- W2183658970 date "2005-01-01" @default.
- W2183658970 modified "2023-09-24" @default.
- W2183658970 title "The Perfect Copula: The Valuation of Correlation-Dependent Derivatives Using the Hazard Rate Path Approach" @default.
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