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Introduction to Credit Risk Modeling

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Illustrating mathematical models for structured credit with practical examples, this book presents an introduction to the foundations of structured credit portfolio modeling. It features material on estimation of asset correlations, and benchmark correlations based on securitizations of benchmark portfolios in the market.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781584889922
  • Indbinding:
  • Hardback
  • Sideantal:
  • 384
  • Udgivet:
  • 2. juni 2010
  • Udgave:
  • 2
  • Størrelse:
  • 241x155x25 mm.
  • Vægt:
  • 690 g.
  • 8-11 hverdage.
  • 21. november 2024
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Illustrating mathematical models for structured credit with practical examples, this book presents an introduction to the foundations of structured credit portfolio modeling. It features material on estimation of asset correlations, and benchmark correlations based on securitizations of benchmark portfolios in the market.

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