Asset Details

  • Description:
  • The fair spreads against the level of limiting correlation (ω), under the Gaussian‐Beta double mixture model M3 (left) and the t‐Beta double mixture model M4 (right).
  • License:
  • Rights Managed
  • Rights Holder:
  • John Wiley & Sons, Inc.
  • License Rights Holder:
  • © 2015 Wiley Periodicals, Inc.
  • Asset Type:
  • Image
  • Asset Subtype:
  • Chart/Graph
  • Image Orientation:
  • Landscape
  • Image Dimensions:
  • 623 x 349
  • Image File Size:
  • 18.1 KB
  • Creator:
  • Taehan Bae, Ian Iscoe, Changki Kim
  • Credit:
  • Bae, T., Iscoe, I., & Kim, C. (2015). Valuing Retail Credit Tranches with Structural, Double Mixture Models. Journal of Futures Markets, 35(9), 849-867..
  • Collection:
  • Keywords:
  • Restrictions:
  • Property Release:
  • No
  • Model Release:
  • No
  • Purchasable:
  • Yes
  • Sensitive Materials:
  • No
  • Article Authors:
  • Taehan Bae, Ian Iscoe, Changki Kim
  • Article Copyright Year:
  • 2015
  • Publication Volume:
  • 35
  • Publication Issue:
  • 9
  • Publication Date:
  • 09/01/2015
  • DOI:

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