On pricing basket credit default swaps (Q5400652): Difference between revisions
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scientific article; zbMATH DE number 6265437
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On pricing basket credit default swaps |
scientific article; zbMATH DE number 6265437 |
Statements
On pricing basket credit default swaps (English)
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4 March 2014
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recursive method
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default time distribution
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interacting intensity default contagion model
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homogeneous case
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two-group heterogeneous case
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numerical results
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CDS rates
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sensitivity study
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