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    P1.T4.Credit Risk Measures

    Could anyone help me with the following questions regarding the credit risk? 1. Copula model and default rate In copula model, U is a one factor model such that U=α*F+sqr(1-α^2)*Z, where F is the systematic factor, and Z is idiosyncratic factor. The example in StudyNote p.21 (Vasicek Model to...