Matches in SemOpenAlex for { <https://semopenalex.org/work/W2187167996> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W2187167996 abstract "In this paper, a normal inverse Gaussian factor model is developed to describe the fat-tailed feature of the default distribution of reference entities in order to study basket default swaps pricing. Based on this model, the explicit formula for the distribution of the kth default time is accurately obtained by making use of order statistics, and the closed forms of the price of BDS at the kth default and m out of n default entities are calculated using the risk-neutral pricing principle." @default.
- W2187167996 created "2016-06-24" @default.
- W2187167996 creator A5019009051 @default.
- W2187167996 creator A5020181096 @default.
- W2187167996 creator A5084070365 @default.
- W2187167996 date "2013-01-01" @default.
- W2187167996 modified "2023-09-27" @default.
- W2187167996 title "Basket Default Swaps Pricing Based on the Normal Inverse Gaussian Distribution" @default.
- W2187167996 cites W1497351691 @default.
- W2187167996 cites W1661687749 @default.
- W2187167996 cites W1965238617 @default.
- W2187167996 cites W1997100450 @default.
- W2187167996 cites W2004818833 @default.
- W2187167996 cites W2006804758 @default.
- W2187167996 cites W2009736376 @default.
- W2187167996 cites W2101593446 @default.
- W2187167996 cites W2105973145 @default.
- W2187167996 cites W2110652040 @default.
- W2187167996 cites W2148688139 @default.
- W2187167996 cites W2462528076 @default.
- W2187167996 hasPublicationYear "2013" @default.
- W2187167996 type Work @default.
- W2187167996 sameAs 2187167996 @default.
- W2187167996 citedByCount "0" @default.
- W2187167996 crossrefType "journal-article" @default.
- W2187167996 hasAuthorship W2187167996A5019009051 @default.
- W2187167996 hasAuthorship W2187167996A5020181096 @default.
- W2187167996 hasAuthorship W2187167996A5084070365 @default.
- W2187167996 hasConcept C10138342 @default.
- W2187167996 hasConcept C110121322 @default.
- W2187167996 hasConcept C121332964 @default.
- W2187167996 hasConcept C132878287 @default.
- W2187167996 hasConcept C134306372 @default.
- W2187167996 hasConcept C149782125 @default.
- W2187167996 hasConcept C162324750 @default.
- W2187167996 hasConcept C163716315 @default.
- W2187167996 hasConcept C182306322 @default.
- W2187167996 hasConcept C202021718 @default.
- W2187167996 hasConcept C207467116 @default.
- W2187167996 hasConcept C2524010 @default.
- W2187167996 hasConcept C33923547 @default.
- W2187167996 hasConcept C51267290 @default.
- W2187167996 hasConcept C61326573 @default.
- W2187167996 hasConcept C62520636 @default.
- W2187167996 hasConceptScore W2187167996C10138342 @default.
- W2187167996 hasConceptScore W2187167996C110121322 @default.
- W2187167996 hasConceptScore W2187167996C121332964 @default.
- W2187167996 hasConceptScore W2187167996C132878287 @default.
- W2187167996 hasConceptScore W2187167996C134306372 @default.
- W2187167996 hasConceptScore W2187167996C149782125 @default.
- W2187167996 hasConceptScore W2187167996C162324750 @default.
- W2187167996 hasConceptScore W2187167996C163716315 @default.
- W2187167996 hasConceptScore W2187167996C182306322 @default.
- W2187167996 hasConceptScore W2187167996C202021718 @default.
- W2187167996 hasConceptScore W2187167996C207467116 @default.
- W2187167996 hasConceptScore W2187167996C2524010 @default.
- W2187167996 hasConceptScore W2187167996C33923547 @default.
- W2187167996 hasConceptScore W2187167996C51267290 @default.
- W2187167996 hasConceptScore W2187167996C61326573 @default.
- W2187167996 hasConceptScore W2187167996C62520636 @default.
- W2187167996 hasLocation W21871679961 @default.
- W2187167996 hasOpenAccess W2187167996 @default.
- W2187167996 hasPrimaryLocation W21871679961 @default.
- W2187167996 hasRelatedWork W1609195891 @default.
- W2187167996 hasRelatedWork W1919230487 @default.
- W2187167996 hasRelatedWork W2009736376 @default.
- W2187167996 hasRelatedWork W2009864312 @default.
- W2187167996 hasRelatedWork W2058153232 @default.
- W2187167996 hasRelatedWork W2104411606 @default.
- W2187167996 hasRelatedWork W2330403207 @default.
- W2187167996 hasRelatedWork W2342013699 @default.
- W2187167996 hasRelatedWork W2939172190 @default.
- W2187167996 hasRelatedWork W2965257007 @default.
- W2187167996 hasRelatedWork W3121871945 @default.
- W2187167996 hasRelatedWork W3122611984 @default.
- W2187167996 hasRelatedWork W3124118421 @default.
- W2187167996 hasRelatedWork W3124211722 @default.
- W2187167996 hasRelatedWork W3124530359 @default.
- W2187167996 hasRelatedWork W3124658971 @default.
- W2187167996 hasRelatedWork W3125818050 @default.
- W2187167996 hasRelatedWork W3146135935 @default.
- W2187167996 hasRelatedWork W3196592080 @default.
- W2187167996 hasRelatedWork W3124100729 @default.
- W2187167996 isParatext "false" @default.
- W2187167996 isRetracted "false" @default.
- W2187167996 magId "2187167996" @default.
- W2187167996 workType "article" @default.