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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Бібліографічні деталі
Автор: Haworth, H
Формат: Дисертація
Опубліковано: University of Oxford;Mathematical Institute 2006