"Expected Tail Loss Efficient Frontiers for CDOS of Bespoke Portfolios ..."

Diresh Jewan, Renkuan G. Guo, Gareth Witten (2008)

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DOI: 10.1007/978-90-481-2311-7_49

access: closed

type: Conference or Workshop Paper

metadata version: 2021-08-18

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Diresh Jewan, Renkuan G. Guo, Gareth Witten:
Expected Tail Loss Efficient Frontiers for CDOS of Bespoke Portfolios Under One-Factor Copula Marginal Distributions. World Congress on Engineering (Selected Papers) 2008: 575-586

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