On Correlation and Default Clustering in Credit Markets Antje Berndt∗ , Peter Ritchken and Zhiqiang Sun ∗ Tepper School of Business - Heath–Jarrow–Morton framework - Document - PDFSEARCH.IO

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	On Correlation and Default Clustering in Credit Markets Antje Berndt∗ , Peter Ritchken and Zhiqiang Sun ∗ Tepper School of Business Add to Reading List Document Date: 2010-06-25 22:51:32 Open Document File Size: 1,13 MB Share Result on Facebook City Toronto / / Company AMR / / Organization Congress / Carnegie Mellon University / Tepper School / / Person Peter Ritchken / Zhiqiang Sun / / SocialTag Investment Mathematical finance Fixed income analysis Heath–Jarrow–Morton framework Fixed income market Yield curve Credit spread Credit risk Financial economics Finance

On Correlation and Default Clustering in Credit Markets Antje Berndt∗ , Peter Ritchken and Zhiqiang Sun ∗ Tepper School of BusinessAdd to Reading List