A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches |
scientific article |
Statements
A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (English)
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31 January 2017
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time-change
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mean-reverting process with jumps
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CDS pricing
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credit index pricing
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tranche pricing
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