Published November 29, 2022
| Version v2
Presentation
Open
Credit Derivative Pricing Model
Authors/Creators
Description
We propose default correlation model and four credit default derivative pricing models, namely, single name credit default swaps with counterparty risk, First-to-Default basket default swaps, FirstNofN basket default swaps, and FirstLoss trades.
Notes
https://ia804703.us.archive.org/1/items/threeFactorConvertible/threeFactorConvertible.pdf
Files
CreditDerivativePricing.pdf
Files
(254.5 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:d88c299be938970b9003781678bc7234
|
254.5 kB | Preview Download |