Published November 29, 2022
| Version v2
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Credit Derivative Pricing Model
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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.
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https://ia804703.us.archive.org/1/items/threeFactorConvertible/threeFactorConvertible.pdf
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CreditDerivativePricing.pdf
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