Credit events and the valuation of credit derivatives of basket type
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Publication:375319
DOI10.1023/A:1009676412322zbMATH Open1274.91418MaRDI QIDQ375319FDOQ375319
Yukio Muromachi, Masaaki Kijima
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
conditional independencedefault intensity processextended Vasicek modeljoint survival functionrisk-neutral valuation
Cited In (12)
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
- Title not available (Why is that?)
- Basket credit default swap pricing with two defaultable counterparties
- A contagion process with self-exciting jumps in credit risk applications
- Valuation and risk assessment of participating life insurance in the presence of credit risk
- On the simulation of portfolios of interest rate and credit risk sensitive securities
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model
- Dependent defaults and credit migrations
- Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
- Valuing risky debt: a new model combining structural information with the reduced-form approach
- Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models
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