Titlebook: Credit Correlation; Theory and Practice Youssef Elouerkhaoui Book 2017 The Editor(s) (if applicable) and The Author(s), under exclusive lic

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978-3-319-86973-5The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl

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Numerical Tools: Basket Expansionssented in the Marshall-Olkin copula model, most of the numerical techniques are generic and could be used with other copulas as well. The methods presented span a large spectrum of applied mathematics: Fourier transforms, changes of probability measure, numerical stable schemes, high-dimensional Sobol integration, recursive convolution algorithms.

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CDO-Squared: Correlation of Correlationoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.

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Numerical Tools: Basket Expansionssented in the Marshall-Olkin copula model, most of the numerical techniques are generic and could be used with other copulas as well. The methods presented span a large spectrum of applied mathematics: Fourier transforms, changes of probability measure, numerical stable schemes, high-dimensional Sob

AWL

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