Swap Pricing with Two-Sided Default Risk in a Rating-Based Model * (Q4526194)
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scientific article; zbMATH DE number 1553363
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Swap Pricing with Two-Sided Default Risk in a Rating-Based Model * |
scientific article; zbMATH DE number 1553363 |
Statements
Swap Pricing with Two-Sided Default Risk in a Rating-Based Model * (English)
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11 May 2001
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default risk
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rating
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swap spread
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two-sided default
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numerical methods
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