Credit correlation: life after copulas
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789812709493
Date de publication :
2 janv. 2008
Langue :
Anglais
Pays d'origine :
Singapour
The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. This title presents both the top-down and bottom-up approaches for describing the dynamics of credit baskets.