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| Simulating Correlated Defaults by Darrell Duffie of Stanford University, and May 21, 1999 Abstract: This paper reviews some conventional and novel approaches to modeling and simulating correlated default times (and losses) on portfolios of loans, bonds, OTC derivatives, and other credit positions. We emphasize the impact of correlated jumps in credit quality on the performance of large portfolios of positions. Books Referenced in this Paper: (what is this?)
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