A tractable LIBOR model with default risk (Q356479)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A tractable LIBOR model with default risk |
scientific article |
Statements
A tractable LIBOR model with default risk (English)
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25 July 2013
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LIBOR rates
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default risk
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affine processes
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affine LIBOR models
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analytically tractable models
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CDS spread
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counterparty risk
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0.8850641
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0.8807458
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0.87956613
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0.8713585
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0.8708987
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0.87052554
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