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    WSC
    2007
    139views Modeling And Simulation» more  WSC 2007»
    Estimating tranche spreads by loss process simulation
    15 years 20 days ago
    Estimating tranche spreads by loss process simulation
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    A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte...
    Kay Giesecke, Baeho Kim
    claim paper
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