Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few …¨ardle, Ostap Okhrin
July 30, 2009
Abstract
Modelling portfolio credit risk is one of the crucial challenges faced by finan-
cial … (CDOs). CDOs are innovative financial products that allow for the tranching
and the selling of credit risk on a pool of …