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Essays on Correlation Modelling

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The thesis consists of three essays that cover different aspects ofcorrelation modelling in corporate default risk. Each essay is self-contained and can beread independently. Essay I: Correlation in corporate defaults: Contagion or conditionalindependence? Essay II: Systematic and idiosyncratic default risk in synthetic creditmarkets. Essay III: Credit spreads across the business cycle.

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Mads Stenbo Nielsen

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