Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities (Q4903546)
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scientific article; zbMATH DE number 6127884
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| English | Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities |
scientific article; zbMATH DE number 6127884 |
Statements
Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities (English)
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22 January 2013
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loan credit default swap
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credit derivatives
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reduced-form model
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default and prepayment risk
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CIR and inverse CIR process
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0.7629607915878296
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0.7451803684234619
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0.7416353225708008
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0.7409681081771851
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