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List of Contributors | p. vii |
Introduction | p. ix |
Fast Solution of the Gaussian Copula Model | p. 1 |
An Empirical Study of Pricing and Hedging Collateralized Debt Obligation (CDO) | p. 15 |
The Skewed t Distribution for Portfolio Credit Risk | p. 55 |
Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches | p. 85 |
Perturbed Gaussian Copula | p. 103 |
The Determinants of Default Correlations | p. 123 |
Data Mining Procedures in Generalized Cox Regressions | p. 159 |
Jump Diffusion in Credit Barrier Modeling: A Partial Integro-Differential Equation Approach | p. 195 |
Bond Markets with Stochastic Volatility | p. 215 |
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss | p. 243 |
Credit Derivatives and Risk Aversion | p. 275 |
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The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.