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Introduction and Context

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Credit Correlation

Part of the book series: Applied Quantitative Finance ((AQF))

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Abstract

To set the context, we start this introduction with a presentation of the main (portfolio) credit derivative contracts that we are interested in. When we talk about portfolio credit derivative valuations, the first thing that we need to do is to generate a set of loss (or default) distributions, at different time horizons, from the single-name curves and some “correlation” assumptions.

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Authors and Affiliations

  1. London, UK

    Youssef Elouerkhaoui

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  1. Youssef Elouerkhaoui
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Correspondence to Youssef Elouerkhaoui .

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Elouerkhaoui, Y. (2017). Introduction and Context. In: Credit Correlation. Applied Quantitative Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-60973-7_1

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  • DOI: https://doi.org/10.1007/978-3-319-60973-7_1

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  • Publisher Name: Palgrave Macmillan, Cham

  • Print ISBN: 978-3-319-60972-0

  • Online ISBN: 978-3-319-60973-7

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

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