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March 09, 2005
Credit Risk Modeling and Valuation: An Introduction
Credit risk is the distribution of financial losses due to unexpected
changes in the credit quality of a counterparty in a financial
agreement. Structural, reduced form and incomplete information
estimate joint default probabilities and prices of credit sensitive
securities.
Kay Giesecke, Cornell University.
Posted by omor at March 9, 2005 07:57 PM