AbstractThe article presents a survey of the principal quantitative tools adopted by the major financial institutions in the credit market, pointing out their limits and new directions.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 21793.
Date of creation: 21 Feb 2010
Date of revision:
Implied Default Probability; Implied Correlation; Implied Time to Default;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-11 (All new papers)
- NEP-BAN-2010-04-11 (Banking)
- NEP-MIC-2010-04-11 (Microeconomics)
- NEP-RMG-2010-04-11 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Duffie, Darrell & Singleton, Kenneth J, 1997. " An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, American Finance Association, vol. 52(4), pages 1287-1321, September.
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