Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823): Difference between revisions
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Revision as of 00:50, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of portfolio credit derivatives with default intensities using the Vasicek model |
scientific article |
Statements
Valuation of portfolio credit derivatives with default intensities using the Vasicek model (English)
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30 March 2011
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portfolio credit derivatives
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Vasicek model
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credit default swaps
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collateralized debt obligation
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default intensity correlation
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