Explain the difference between the Gaussian copula model for the time to default and CreditMetrics as far
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Explain the difference between the Gaussian copula model for the time to default and CreditMetrics as far as the following are concerned:
a) The definition of a credit loss
b) The way in which default correlation is modeled.
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a In the Gaussian copula model for time to default a credi...View the full answer
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