Opinion: Time to adapt copula methods for modelling credit risk correlation - In an evolving market, a new standard for the price quotation of credit products that models correlated changes in credit spreads as well as default times is needed.
Year of publication: |
2004
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Authors: | Duffie, Darrell |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 17.2004, 4, p. 77-78
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