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Keywords: multiple entity modelling
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Alexander Lipton (ed.) and Andrew Rennie (ed.)
Published online: 18 September 2012
Published in print: 27 January 2011
... their theoretical underpinnings and their practical usage in pricing and risk. For multiple entity modelling, the now-notorious Gaussian copula is discussed, with analysis of its shortcomings, as well as a wide range of alternative approaches, including multivariate extensions to both firm-value and reduced form...