- Joined
- 1/27/10
- Messages
- 1,035
- Points
- 173
When one builds a copula function to impose correlation on default and migration, how do you calibrate the volatility? Or does that matter at all if the right number of defaults occur?
I supervised the construction of many of these models but haven't built one in over 20 years.
I supervised the construction of many of these models but haven't built one in over 20 years.