Credit Correlation: Life After Copulas
Gebonden EN 2008 9789812709493Samenvatting
The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. This title presents both the top-down and bottom-up approaches for describing the dynamics of credit baskets.
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