Titlebook: Credit Correlation; Theory and Practice Youssef Elouerkhaoui Book 2017 The Editor(s) (if applicable) and The Author(s), under exclusive lic

虛弱

詞匯記憶方法

輕浮思想

Self-supervised Siamese Autoencodersoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.

Guileless

Youssef ElouerkhaouiAuthored by noted expert on credit portfolios and correlation trading and frequent speaker on these topics at all the big quant conferences..Tackles up-to-date credit and default correlation on the ma

整體

Generalize

https://doi.org/10.1007/978-3-031-23615-0In this chapter, we present the essential mathematical tools needed in the modelling of portfolio credit derivative products. This includes: doubly-stochastic Poisson processes, also known as Cox processes; point processes and their intensities, on some given filtration; and copula functions.

intangibility

FECT

José Miguel Laínez-Aguirre,Luis PuigjanerEnlarging the economic state-variables’ filtration by observing the default process of all available credits has some profound implications on the dynamics of intensities.

anatomical

José Miguel Laínez-Aguirre,Luis PuigjanerThis chapter gives a broad overview of default correlation modelling in the context of pricing and risk managing a correlation trading book. We cover both theoretical and practical market aspects, as well as numerical performance issues.

Gyrate