Credit events and the valuation of credit derivatives of basket type
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Publication:375319
DOI10.1023/A:1009676412322zbMATH Open1274.91418MaRDI QIDQ375319FDOQ375319
Authors: Masaaki Kijima, Yukio Muromachi 
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
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- 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
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- The valuation of the basket CDS in a primary-subsidiary model
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- Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
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