Posts Tagged ‘ credit ’

Correlations, dimension, and risk measure

May 4, 2012
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Correlations, dimension, and risk measure

Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned...

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MAT8886 exchangeability, credit risk and risk measures

February 10, 2012
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MAT8886 exchangeability, credit risk and risk measures

Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with a more general setting. For instance, in a old...

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