Modeling Correlated Defaults-An Overview

来源 :The 2nd Quantitative Finance and Risk Management Forum(第二届数量 | 被引量 : 0次 | 上传用户：meheaven

【摘要】

：

　　Default correlation plays a critical role in security pricing and risk management.It describes the co-movement of multi credit counterparties.Academic resea

【作者】

：

Guangshan Jiang

【机构】

：

UBSAG

【出处】

：

The 2nd Quantitative Finance and Risk Management Forum(第二届数量

【发表日期】

：

2013年8期

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　　Default correlation plays a critical role in security pricing and risk management.It describes the co-movement of multi credit counterparties.Academic researchers and business practitioners have developed various modeling approaches and techniques to measure and estimate default correlation.

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Modeling Correlated Defaults-An Overview

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