Merton and Beyond: The state of the art in credit modelling and trading

fixed income

Credit trading has changed dramatically in the last several years. Market conditions are unprecedented, many new market participants are investing in credit and the choice of investable assets is expanding.

Whether this is positive or negative, one thing is certain: change has driven innovation and generated opportunity.

In response to these changes, academics and practitioners have worked on many fronts: developing models, implementing systems and defining investment processes. Probably the

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