The valuation of the basket CDS in a primary-subsidiary model (Q2998844)
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scientific article; zbMATH DE number 5886821
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| English | The valuation of the basket CDS in a primary-subsidiary model |
scientific article; zbMATH DE number 5886821 |
Statements
THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL (English)
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11 May 2011
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default intensity
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contagion
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counterparty risk
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primary-subsidiary model
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basket CDS
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0.7842145562171936
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0.7725895047187805
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0.7725145220756531
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0.7683866024017334
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