Credit ratings, credit default swaps and credit correlation
This thesis looks at the statistical interaction of credit ratings and Credit Default Swap (CDS) spreads. Both have been implicated as major contributors to the financial crises of 2007-present. The body of work contained herein looks to further our understanding of their relationship and in doing s...
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Imperial College London
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.560637 |