Credit modelling : generating spread dynamics with intensities and creating dependence with copulas
The thesis is an investigation into the pricing of credit risk under the intensity framework with a copula generating default dependence between obligors. The challenge of quantifying credit risk and the derivatives that are associated with the asset class has seen an explosion of mathematical resea...
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Imperial College London
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535603 |