Published November 29, 2022
| Version v2
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Credit Pricing Model Calibration
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A calibration procedures of the Default Correlation model is presented. There are two principal modifications. The first is to change the manner in which asset correlations are converted into default correlations, the second is a small change in the algorithm by which the probability equations of the model are solved. These changes are considered appropriate, and are necessary for the model to be considered robust enough to underpin the structuring and trading of complex credit contingent instruments.
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CreditModCorr.pdf
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