An Introduction to Dependence Modeling

The purpose of this series of articles is to investigate how the dependency structure between separate types of risk affect portfolio risk. Specifically, we develop a joint modeling framework for equity and credit risk. Using a portfolio of corporate bonds and an asset representing a stock market index, the various aspects of the framework can be illustrated.

Part 1 An Introduction To Dependence Modeling

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Part 1 An Introduction To Dependence Modeling

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