Ontology type: schema:Chapter
2007
AUTHORSJean-David Fermanian , Mohammed Sbai
ABSTRACTIn finance, especially for credit portfolio modeling, basket credit derivatives (CDOs, n-th to default) pricing and hedging, the building of an accurate measure of the dependence between the underlying default events is becoming a key-challenge (see Crouhy, Galai and Mark, 2002; Koyluoglu and Hickman, 1998, for a review of the current credit risk portfolio models). This new frontier has induced a huge amount of literature for several years: Nyfeler (2000), Frey and McNeil (2001), Schönbucher and Schubert (2001), Das, Geng and Kapadia (2002), Elizalde (2003), Turnbull (2003), Yu (2003), among others. More... »
PAGES132-155
Advances in Risk Management
ISBN
978-1-349-28543-3
978-0-230-62584-6
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DOIhttp://dx.doi.org/10.1057/9780230625846_7
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