Credit risk tools: an overview
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Keywordsinterest rate swap; spot rate term structure; credit default swap; probability of default; copula function; direct convolution; loss given default; collateralized debt obligation; exposure at default; stochastic cash-flow stream model; value at risk; credit value at risk; future potential exposure; Monte Carlo simulation.;
- C0 - Mathematical and Quantitative Methods - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G0 - Financial Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-BAN-2011-01-23 (Banking)
- NEP-CMP-2011-01-23 (Computational Economics)
- NEP-RMG-2011-01-23 (Risk Management)
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