Valuation of <i>k</i>th-to-default credit-linked notes with counterparty risk in a reduced-form model (Q6106209)
From MaRDI portal
scientific article; zbMATH DE number 7702521
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of <i>k</i>th-to-default credit-linked notes with counterparty risk in a reduced-form model |
scientific article; zbMATH DE number 7702521 |
Statements
Valuation of <i>k</i>th-to-default credit-linked notes with counterparty risk in a reduced-form model (English)
0 references
27 June 2023
0 references
\(k\)th-to-default CLN
0 references
counterparty risk
0 references
credit valuation adjustment (CVA)
0 references
0 references
0 references
