3 Maja str. 2 m 164
Polish Academy of Sciences
default correlation, counterparty risk, reduced form models
joint defaults, collateralized lending, residual credit risk
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Cheyette model, local volatility, swaptions, smile, calibration
File name: SSRN-id2828130.pdf
default correlation, Marshall–Olkin, European Financial Stability Facility (EFSF), credit value adjustment (CVA), collateralized debt obligation (CDO)
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