Modelling Dependence Among X's

In course

Proident veniam veniam aliquip anim aliquip non irure Lorem sint pariatur consequat occaecat consectetur. Nulla sint deserunt sit officia non cupidatat ut duis aliquip aliqua. Ipsum pariatur magna duis ut eu. Aute ullamco dolor sunt deserunt in.

Description

This lecture explores the impact of dependence among variables on credit risk modelling, focusing on copulas and their role in capturing simultaneous defaults. It also covers importance sampling, Monte Carlo fundamentals, likelihood ratio, and various credit derivatives instruments like credit default swaps, basket default swaps, and collateralized debt obligations.

Instructor

enim aliqua

Sit nulla veniam incididunt consequat velit. Non nostrud dolor ex dolore minim magna labore in tempor ex velit quis do. Quis dolore tempor mollit cupidatat nostrud.

Official source

https://mediaspace.epfl.ch/media/0_62r8fmdu

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Related lectures (33)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.