Pricing basket default swaps in a tractable shot noise model (Q553040)
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scientific article; zbMATH DE number 5932080
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| English | Pricing basket default swaps in a tractable shot noise model |
scientific article; zbMATH DE number 5932080 |
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Pricing basket default swaps in a tractable shot noise model (English)
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26 July 2011
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credit risk
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intensity-based models
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dependence modelling
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shot noise
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\(k\)th-to-default swaps
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0.8114438652992249
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0.8093525171279907
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0.7910208702087402
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0.7904797792434692
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