Elouerkhaoui, Youssef - 2017
This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical … correlation approaches; correlation modelling in the ‘Marshall-Olkin’ contagion framework, in the context of CVA; numerical … Enlarged Filtration - The Generalized Dellacherie Formula -- Chapter3 The Basics of Default Correlation Modelling -- Chapter4 …