Credit Correlation:Life After Copulas
Editor
- Alexander Lipton(Merrill Lynch International, UK)Andrew Rennie(Merrill Lynch International, UK)
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
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Book Chapters
The following chapters of this book are listed in IDEAS- Martin Baxter, 2007. "Lévy Simple Structural Models," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 1, pages 1-14, World Scientific Publishing Co. Pte. Ltd..
- Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2007. "Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 2, pages 15-39, World Scientific Publishing Co. Pte. Ltd..
- Alexander Chapovsky & Andrew Rennie & Pedro Tavares, 2007. "Stochastic Intensity Modeling For Structured Credit Exotics," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 3, pages 41-60, World Scientific Publishing Co. Pte. Ltd..
- Mark H. A. Davis & Juan Carlos Esparragoza-Rodriguez, 2007. "Large Portfolio Credit Risk Modeling," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 4, pages 61-86, World Scientific Publishing Co. Pte. Ltd..
- Michael A. H. Dempster & Elena A. Medova & Seung W. Yang, 2007. "Empirical Copulas For Cdo Tranche Pricing Using Relative Entropy," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 5, pages 87-109, World Scientific Publishing Co. Pte. Ltd..
- Youssef Elouerkhaoui, 2007. "Pricing And Hedging In A Dynamic Credit Model," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 6, pages 111-139, World Scientific Publishing Co. Pte. Ltd..
- Friedel Epple & Sam Morgan & Lutz Schloegl, 2007. "Joint Distributions Of Portfolio Losses And Exotic Portfolio Products," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 7, pages 141-156, World Scientific Publishing Co. Pte. Ltd..
- Jakob Sidenius, 2007. "On The Term Structure Of Loss Distributions: A Forward Model Approach," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 8, pages 157-169, World Scientific Publishing Co. Pte. Ltd..
More about this item
Keywords
Credit Derivatives; Gaussian Copulas; Tranches; Credit Baskets; Base Correlations;All these keywords.
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