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A Distressed Bond Model
Dash, Jan
-
2016
We present the framework for a distressed bond model. The utility is as a proxy for calculating the risk of a distressed bond portfolio. We elaborate several possible implementations and give an example
Persistent link: https://www.econbiz.de/10012987069
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Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management
Dash, Jan
-
2016
We introduce a methodology from geophysics, Singular Spectrum Analysis (SSA), to obtain stable, noise-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA-smoothed time series are then used to obtain the...
Persistent link: https://www.econbiz.de/10012987091
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