Structural models of credit with default contagion
Multi-asset credit derivatives trade in huge volumes, yet no models exist that are capable of properly accounting for the spread behaviour of dependent companies. In this thesis we consider new ways of incorporating a richer and more realistic dependence structure into multi-firm models. We focus on...
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| פורמט: | Thesis |
| יצא לאור: |
University of Oxford;Mathematical Institute
2006
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