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Introduction and Context

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

Abstract

To set the context, we start this introduction with a presentation of the main (portfolio) credit derivative contracts that we are interested in. When we talk about portfolio credit derivative valuations, the first thing that we need to do is to generate a set of loss (or default) distributions, at different time horizons, from the single-name curves and some “correlation” assumptions.

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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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