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A factor contagion model for portfolio credit derivatives |
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| Authors: | Geon Ho Choe Hyun Jin Jang |
| Affiliation: | 1. Department of Mathematical Sciences, KAIST, Daejeon 305-701, Korea.;2. School of Business Administration, Ulsan National Institute of Science and Technology (UNIST), Ulsan 689-798, Korea. |
| Abstract: | |
| Keywords: | Marshall–Olkin copula Contagion model Credit derivatives Recovery rate |