Valuation of credit default swaps with contagious default correlation
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Publication:3016965
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Cited in
(11)- scientific article; zbMATH DE number 1827978 (Why is no real title available?)
- Contagion effects and collateralized credit value adjustments for credit default swaps
- A counterparty valuation adjustment calculation model of multi-counterparties credit default swap
- System credit events and the valuation of credit default swaps
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap
- scientific article; zbMATH DE number 6401340 (Why is no real title available?)
- Credit risky securities valuation under a contagion model with interacting intensities
- Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
- Modelling bonds and credit default swaps using a structural model with contagion
- A Copula Approach to Default Correlation and the Pricing of Basket Default Swap
- Valuation of credit contingent interest rate swap
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