Andrew Rennie

Merrill Lynch & Co. - Merrill Lynch, UK

Merrill Lynch Financial Centre

2 King Edward Street

LONDON, EC1A 1HQ

United Kingdom

SCHOLARLY PAPERS

1

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175

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0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

(Preface) Credit Correlation: Life after Copulas

CREDIT CORRELATION: LIFE AFTER COPULAS, Alexander Lipton, Andrew Ronnie, eds., World Scientific Publishing Co., 2007, International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007
Number of pages: 1 Posted: 07 Oct 2009
Alexander Lipton and Andrew Rennie
affiliation not provided to SSRN and Merrill Lynch & Co. - Merrill Lynch, UK
Downloads 175 (231,740)

Abstract:

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credit derivatives, Gaussian copulas, tranches, credit baskets, base correlations