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Systematic risk factors redefined

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      <subfield code="a">Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don't work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing sequence of default times can be used to create systematic factors that allow for a rich correlation structure - and keep strong links with pricing </subfield>
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      <subfield code="t">Risk : risk management, derivatives, structured products</subfield>
      <subfield code="d">Southwick, West Sussex : Incisive Financial Publishing, 2007-</subfield>
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      <subfield code="g">04/11/2013 Tomo 26 Número 11 - 2013 , p. 62-64</subfield>
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