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  • All your CDS models are wrong
    It is a common belief that it is simple to extract implied default probabilities from CDS spreads. But, argues Robert Jarrow, the conventional methods are drastically flawed

    11 years ago

  • Re-thinking recovery
    Loss-given-default presents an even bigger modelling challenge than default probability. A re-sampling casts light on the best approach

    12 years ago

2 results found Showing page 1 of 1

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