Multi-Factor Bottom-Up Model for Pricing Credit Derivatives
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More about this item
Keywords
credit derivatives; CDO; bottom-up approach; multi-name; intensity-based; risk and portfolio.;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2010-06-11 (Banking)
- NEP-RMG-2010-06-11 (Risk Management)
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