Third Generation Models: From Static to Dynamic Models

Part of the Applied Quantitative Finance book series (AQF)


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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© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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