Credit Correlation: Life After Copulas

ISBN-13: 9789812709493 / Angielski / Twarda / 2008 / 176 str.

Alexander Lipton

Opis

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.