Tagged Questions

7
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3answers
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Multi Factor Credit Risk Models

I am working in the area of building credit risk models. Upto this point, the model I have been focused on using the Asymptotic Single Factor Model, more popularly known as Vasicek Single Factor ...
0
votes
0answers
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Jumps in the evolution of observed negative interest rates related to changes in credit ratings?

If credit risk is to be considered completed integrated in the market prices (integrated credit and market risk), the change in the credit rate will trigger the change in the interest rate/market ...