Titlebook: Credit Correlation; Theory and Practice Youssef Elouerkhaoui Book 2017 The Editor(s) (if applicable) and The Author(s), under exclusive lic

戰(zhàn)役

撫育

agglomerate

Advances in Intelligent Data Analysis XXIIIn this chapter, we review some of the most important dynamic credit models in the literature. We give a brief description of each model and discuss the advantages and limitations of each modelling framework. We also comment on the usefulness of each model for a given family of correlation products.

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Mathematical FundamentalsIn this chapter, we present the essential mathematical tools needed in the modelling of portfolio credit derivative products. This includes: doubly-stochastic Poisson processes, also known as Cox processes; point processes and their intensities, on some given filtration; and copula functions.

FAZE

強(qiáng)制性

GROWL

Correlation Demystified: A General OverviewThis chapter gives a broad overview of default correlation modelling in the context of pricing and risk managing a correlation trading book. We cover both theoretical and practical market aspects, as well as numerical performance issues.

我說(shuō)不重要

An Introduction to the Marshall-Olkin CopulaIn this chapter, we present the Marshall-Olkin copula model where the correlation profile is constructed via a set of common shocks, which can trigger joint defaults in the basket.

壯觀的游行

heterodox