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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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:23 PM

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Explain the difference between the Gaussian copula model for the time to default and CreditMetrics as far

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a In the Gaussian copula model for time to default a credi...View the full answer

Options Futures and Other Derivatives

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