Technical paper/Gaussian model

Credit markets

Time to adapt copula methods for modelling credit risk correlation

In an evolving market, a new standard for the price quotation of credit products that models correlated changes in credit spreads as well as default times is needed, argues Darrell Duffie.

04 May 2004

Original research

Risk estimation using the normal inverse Gaussian distribution

07 Mar 2002

Infrastructure

Applying HJM to credit risk

Credit risk

01 May 1999

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