A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065)
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scientific article; zbMATH DE number 6679033
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| English | A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches |
scientific article; zbMATH DE number 6679033 |
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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0.7975133657455444
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0.7966993451118469
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0.7936077117919922
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0.7928433418273926
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0.7900301814079285
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