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Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives
McWilliam, Noel, Loh, Kar-Wei, Huang, HuanVolume:
11
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2010.544324
Date:
December, 2011
File:
PDF, 861 KB
english, 2011