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
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+PDE approach to valuation and hedging of credit derivatives
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+A Theory of the Term Structure of Interest Rates
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+Basket CDS pricing with interacting intensities
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+Credit events and the valuation of credit derivatives of basket type
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+Valuation of a credit swap of the basket type
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+On Cox processes and credit risky securities
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+Q3640968
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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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