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Third Generation Models: From Static to Dynamic Models

Chapter
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Part of the Applied Quantitative Finance book series (AQF)

Abstract

In this chapter, we review some of the most important dynamic credit models in the literature. We give a brief description of each model and discuss the advantages and limitations of each modelling framework. We also comment on the usefulness of each model for a given family of correlation products.

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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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