结果：找到“Default correlation”相关内容7个，排序为按回复时间降序，搜索更多相关帖子请点击“高级”
Default Correlations and Large-Portfolio Credit Analysis
1 个回复 - 680 次查看 【作者(必填)】 Jin-Chuan Duan[/backcolor] & Weimin Miao[/backcolor] 【文题(必填)】 Default Correlations and Large-Portfolio Credit Analysis【年份(必填)】 2016 【全文链接或数据库名称(选填)】http:/ ...2016-12-28 12:26 - internet.hzx - 求助成功区
1 个回复 - 680 次查看 【作者(必填)】 Jin-Chuan Duan[/backcolor] & Weimin Miao[/backcolor] 【文题(必填)】 Default Correlations and Large-Portfolio Credit Analysis【年份(必填)】 2016 【全文链接或数据库名称(选填)】http:/ ...2016-12-28 12:26 - internet.hzx - 求助成功区
Default Correlations and Large-Portfolio Credit Analysis
1 个回复 - 668 次查看 【作者(必填)】 in-Chuan Duan[/backcolor] & Weimin Miao[/backcolor] 【文题(必填)】 Default Correlations and Large-Portfolio Credit Analysis【年份(必填)】 2015 【全文链接或数据库名称(选填)】http:// ...2016-12-24 13:15 - internet.hzx - 求助成功区
1 个回复 - 668 次查看 【作者(必填)】 in-Chuan Duan[/backcolor] & Weimin Miao[/backcolor] 【文题(必填)】 Default Correlations and Large-Portfolio Credit Analysis【年份(必填)】 2015 【全文链接或数据库名称(选填)】http:// ...2016-12-24 13:15 - internet.hzx - 求助成功区
求lucas (1995) default correlation and credit analysis
2 个回复 - 2073 次查看 lucas (1995) default correlation and credit analysis Journal of Fixed Income, Vol. 11, pp. 76-87 感激不尽！2010-6-29 15:52 - mercury_member - 金融工程（数量金融）与金融衍生品
2 个回复 - 2073 次查看 lucas (1995) default correlation and credit analysis Journal of Fixed Income, Vol. 11, pp. 76-87 感激不尽！2010-6-29 15:52 - mercury_member - 金融工程（数量金融）与金融衍生品
（download）On Default Correlation: A Copula Function Approach by David X. Li
4 个回复 - 4590 次查看 David X. Li (born in China in the 1960s as Xiang Lin Liis a quantitative analyst and a qualified actuary who in the early 2000s pioneered the use of Gaussian copula models for the pricing of collatera ...2009-8-3 22:26 - yhongl12 - 金融工程（数量金融）与金融衍生品
4 个回复 - 4590 次查看 David X. Li (born in China in the 1960s as Xiang Lin Liis a quantitative analyst and a qualified actuary who in the early 2000s pioneered the use of Gaussian copula models for the pricing of collatera ...2009-8-3 22:26 - yhongl12 - 金融工程（数量金融）与金融衍生品
default correlation
0 个回复 - 835 次查看 handbook 上关于信用风险一句很怪的话，不理解：the expected credit loss depends on default probabilities but not on default correlation。求教。2012-7-21 17:01 - xiaohe533534 - CFA、CVA、FRM等金融考证论坛
0 个回复 - 835 次查看 handbook 上关于信用风险一句很怪的话，不理解：the expected credit loss depends on default probabilities but not on default correlation。求教。2012-7-21 17:01 - xiaohe533534 - CFA、CVA、FRM等金融考证论坛
correlation是负的，为什么joint default frequency增加？
3 个回复 - 3149 次查看 136. You are considering an investment in the mezzanine tranche of a tranched basket default swap (TBDS) constructed from a basket of N assets. The TBDS is structured such that the junior tranche is e ...2009-11-17 22:24 - ringthomas0000 - CFA、CVA、FRM等金融考证论坛
3 个回复 - 3149 次查看 136. You are considering an investment in the mezzanine tranche of a tranched basket default swap (TBDS) constructed from a basket of N assets. The TBDS is structured such that the junior tranche is e ...2009-11-17 22:24 - ringthomas0000 - CFA、CVA、FRM等金融考证论坛
default correlation到底怎么算的?
1 个回复 - 4805 次查看 在HULL的书中算Binomial corrrelation measure 的时候用到Gaussian-Copula得出的相关系数rho(i,,j),到底这个rho(i,,j)是怎么得出的?Binomial corrrelation measure从公式上来看不也是相关系数么,它和Gaussian-Copula ...2007-5-11 20:48 - 按时地方 - 金融学（理论版）
1 个回复 - 4805 次查看 在HULL的书中算Binomial corrrelation measure 的时候用到Gaussian-Copula得出的相关系数rho(i,,j),到底这个rho(i,,j)是怎么得出的?Binomial corrrelation measure从公式上来看不也是相关系数么,它和Gaussian-Copula ...2007-5-11 20:48 - 按时地方 - 金融学（理论版）
