BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS (Q5746927)
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scientific article; zbMATH DE number 6256764
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS |
scientific article; zbMATH DE number 6256764 |
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BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS (English)
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11 February 2014
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CDS
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counterparty risk, arbitrage-free credit valuation, simultaneous defaults
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Markov copula model
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