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...
Main Author: | Oduneye, Chris Emeka |
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Other Authors: | Jasra, Ajay ; Stephens, David |
Published: |
Imperial College London
2011
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Subjects: | |
Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.535603 |
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