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  1. M

    Definitions of probability of default vs. cumulative or marginal probability of default

    Hi, in book 2, chapter 4 (or the BT study notes), the following definitions are presented: I do not understand how to read the second definition. [t, t+k) is a continuous set. Therefore, I do not see how the numerator is supposed to be defined here. Even if I assume that we simply iterate...
  2. M

    Definition of network risk: Ch. 7

    In chapter 7 of book 1, network risk is defined. However, I do not understand it or the example that is given. This comes directly from Brunnermeier (2009) since it is identical to the book. In the given example Goldman has a swap agreement with the hedge fund which in turn has a swap...