Browsing Mathematics (Faculty of) by Author "Salmon-Bélisle, Louis-Étienne"
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Static and Dynamic Modelling of Credit Default Risk: Tails, Moments, and Calibration
Salmon-Bélisle, Louis-Étienne (University of Waterloo, 2014-08-26)Credit risk modelling can take many different approaches. Each method has its strengths and weaknesses and studying a variety of them can help find new ways of performing credit risk analysis. We present here three different ...