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Credit Basket Analysis

Name: Credit Basket Analysis
Creator: Lee, David
Keywords: Credit Basket Analysis

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 24 Jan 2023 English Publisher:Zenodo

Authors: Lee, David;

doi: 10.5281/zenodo.7566753 , 10.5281/zenodo.7566752

Credit Basket Analysis

- Summary
- Subjects
- Metrics

Abstract

The model is used to analyze the dynamics of a well diversified credit basket of names. More specifically, the tool is capable of predicting correlated loss levels and pool spreads over time. These forecasts can be used to further gauge the possibility of hitting predefined spread trigger thresholds.

https://ia904702.us.archive.org/13/items/american-swaption/AmericanSwaption.pdf

Keywords

Credit Basket Analysis

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	0
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	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average

Usage byUsageCounts

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