06.06.2015 Views

Implied Loss Distribution, Term Structure of Correlation Skew and ...

Implied Loss Distribution, Term Structure of Correlation Skew and ...

Implied Loss Distribution, Term Structure of Correlation Skew and ...

SHOW MORE
SHOW LESS

Create successful ePaper yourself

Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.

Mixture Copula Function: Discrete Case<br />

m<br />

j =<br />

1<br />

α<br />

j<br />

⋅<br />

C<br />

j<br />

u<br />

1<br />

,<br />

u<br />

2<br />

,<br />

L<br />

,<br />

u<br />

m<br />

;<br />

ρ<br />

j<br />

m<br />

j =<br />

1<br />

α<br />

j<br />

=<br />

1 ,<br />

15

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!