COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES (Q4649502): Difference between revisions

@@ Property / MaRDI profile type @@
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+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
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+COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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+ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
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@@ Property / cites work @@
+Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
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+Inference procedures for a bivariate exponential model of Gumbel based on life test of component and system
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024912500392
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+W2089684845
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+Publication:4649502