Credit events and the valuation of credit derivatives of basket type (Q375319)
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scientific article; zbMATH DE number 6220884
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Credit events and the valuation of credit derivatives of basket type |
scientific article; zbMATH DE number 6220884 |
Statements
Credit events and the valuation of credit derivatives of basket type (English)
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29 October 2013
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default intensity process
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risk-neutral valuation
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joint survival function
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conditional independence
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extended Vasicek model
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0.8780356049537659
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0.8197512626647949
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0.8180534839630127
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0.8141515254974365
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