James Bryers

Barclays

London EC3P 3AH

United Kingdom

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Scholarly Papers (1)

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Hermite Approximations in Credit Portfolio Modeling with Probability of Default-Loss Given Default Correlation

Journal of Credit Risk, Vol. 11, No. 3, 2015
Number of pages: 20 Posted: 16 Jun 2016
Barclays, Barclays and Barclays
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Abstract:

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portfolio risk, analytical framework Hermite polynomials, PD–LGD correlation