Modelling dynamic relationship between systematic default and recovery risk
Default correlation modelling is becoming the most popular problem in the field of credit derivatives pricing. An increase in default risk would cause the recovery rate to change correspondingly. Correlation between default and recovery rates has a noticeable effect on risk measures and credit deriv...
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Imperial College London
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.503172 |