DefaultRisk.com the web's biggest credit risk modeling resource.

Home Store Glossary Links Site Guide Search
pa_corr_08


Submit Your Paper

Post Your Résumé

For Recruiters

Today's Featured Book

Collateralized Debt Obligations: Structures and Analysis, 2nd Edition
Collateralized Debt Obligations: Structures and Analysis, 2nd Edition, 2nd Edition
by Douglas J. Lucas, Laurie S. Goodman, Frank J, Wiley, (May 5, 2006), Hardcover, 505 pages

Fitch Quantitative Financial Research (QFR)
Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM
Sponsor:
Shop at Amazon.com and support DefaultRisk.com

In Rememberance: World Trade Center (WTC)

Davis, Mark H.A. and Violet Lo, "Infectious Defaults", Quantitative Finance, Vol. 1, No. 4, (April 2001), pp. 382-387.

Abstract: Mark Davis and Violet Lo introduce a contagion model to account for concentration risk in large portfolios of defaultable securities, which provides a purely probabilistic alternative to Moody's diversity score analysis, with parsimonious parametrization and easy simulation.

Books Referenced in this Paper:  (what is this?)

Copula, Correlation & Dependency books at amazon.com

[Home] [Credit Correlation Papers]

Support DefaultRisk.com by shopping at Amazon.com

 

 

[ Home ]

Please contact me with problems or suggestions.
Copyright © 2000-2008 DefaultRisk.com
Last modified: September 06, 2008