Series: IMF Working Papers
Author(s): Jose Gasha , Andre Santos , Jorge Chan-Lau , Carlos Medeiros , Marcos Souto , and Christian Capuano
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2009
Keywords: Keyword:credit risk, correlation, probability, correlations, arbitrage, Financial Economics: General,
As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worl...