A CDS Option Miscellany
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References listed on IDEAS
- Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390, arXiv.org, revised Feb 2004.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-10 (All new papers)
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