Browsing by Author "Mursajew, Olga"

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Browsing by Author "Mursajew, Olga"

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  • L Ohr, Sebastian; Mursajew, Olga; Roesch, Daniel; Scheule, Harry (Wiley, 2013)
    Correlations are the main drivers for credit portfolio risk and constitute a major element in pricing credit derivatives such as synthetic single-tranche collateralized debt obligation swaps. This study suggests a dynamic ...