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subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest … financial crisis world. Contains information regarding various aspects of the credit derivative market as well as cutting edge … subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest …
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This handbook provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques modelling of default of both single and multiple entities counterparty risk, Gaussian and non-Gaussian modelling, and...
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