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"Default Intensities Implied by CDO Spreads: Inversion Formula and Model ..."

Rama Cont, Romain Deguest, Yu Hang Kan (2010)

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DOI: 10.1137/09076800X

access: closed

type: Journal Article

metadata version: 2017-06-14

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Rama Cont, Romain Deguest, Yu Hang Kan:
Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration. SIAM J. Financial Math. 1(1): 555-585 (2010)

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