Modelling Dependence Among X's

In course

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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

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Official source

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

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