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| A Correlation Bridge between Structural Models and Reduced Form Models for Multiname Credit Derivatives by Damiano Brigo of Banca IMI, and June 3, 2005 Abstract: We derive a consistent way to price multiname credit derivatives. The methodology proposed is based on copulas function to model the joint distribution of default times. The copula correlation coefficient are provided from the structural model. Keywords: Intensity models, structural models, Collateralized debt obligation, copulas. Books Referenced in this paper: (what is this?)
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