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| Factor Models for Credit Correlation by Stewart Inglis of Merrill Lynch, and June 25, 2007 Abstract: In this paper we briefly describe dynamic and static factor models for credit correlation, and show how the static model can be calibrated to the market and used for the pricing of standard and bespoke tranches including tranchelets. Keywords: dynamic, static, factor, models, credit, correlation, bespoke, tranche. Published in: RISK, Vol. 22, No. 4, (April 2009), pp. 98-99. Books Referenced in this paper: (what is this?)
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