Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823): Difference between revisions

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+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
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+PDE approach to valuation and hedging of credit derivatives
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@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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@@ Property / cites work @@
+Basket CDS pricing with interacting intensities
@@ Property / cites work: Basket CDS pricing with interacting intensities / rank @@
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+Credit events and the valuation of credit derivatives of basket type
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@@ Property / cites work @@
+Valuation of a credit swap of the basket type
@@ Property / cites work: Valuation of a credit swap of the basket type / rank @@
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+On Cox processes and credit risky securities
@@ Property / cites work: On Cox processes and credit risky securities / rank @@
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+Q3640968
@@ Property / cites work: Q3640968 / rank @@
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+An equilibrium characterization of the term structure
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+Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
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+Q5456090
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+.1007/S10690-010-9119-Z
@@ Property / DOI: 10.1007/S10690-010-9119-Z / rank @@
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+Publication:633823