Credit risk management

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  • D. Wuertz and many others (2012), fOptions: Basics of Option Valuation, R package version 2160.82. Available at http://CRAN.R-project.org/package=fOptions.
  • K. Giesecke (2004), Credit Risk Modeling and Valuation: An Introduction. Available at SSRN: http://ssrn.com/abstract=479323 or http://dx.doi.org/10.2139/ssrn.479323.
  • I. Kojadinovic and J. Yan (2010), Modeling Multivariate Distributions with Continuous Margins Using the copula R Package, Journal of Statistical Software 34, No. 9, 1-20. Available at http://www.jstatsoft.org/v34/i09.
  • J. Yan (2007), Enjoy the Joy of Copulas: With a Package Copula ...

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