Essays on Correlation Modelling

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Essays on Correlation Modelling

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Title: Essays on Correlation Modelling
Author: Stenbo Nielsen, Mads
Abstract: The thesis consists of three essays that cover different aspects of correlation modelling in corporate default risk. Each essay is self-contained and can be read independently. Essay I: Correlation in corporate defaults: Contagion or conditional independence? Essay II: Systematic and idiosyncratic default risk in synthetic credit markets. Essay III: Credit spreads across the business cycle.
URI: http://hdl.handle.net/10398/8370
Date: 2011-11-06

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