Add to ORKGThis paper extends the analysis in Valuing Credit Default Swaps I: No Counter party Default Risk to provide a methodology for valuing credit default swaps that takes account of counterparty default risk and allows the payoff to be contingent on defaults by multiple reference entities. It develops a model of default correlations between different corporate or sovereign entities. The model is applied to the valuation of vanilla credit default swaps when the seller may default and to the valuation of basket credit default swaps
This article presents a framework for valuing a credit default swap (CDS) contract by taking counter...
Counterparty risk is becoming an important issue for over the counter trades. However, valuation of ...
The objective of this project is to investigate and model the quantitative connection between market...
This paper provides a methodology for valuing credit default swaps when the payoff is contingent on ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This paper provides a methodology for valuing a credit default swap (CDS) with considering a counter...
Abstract. Modeling defaults is critical to pricing debt portfolio deriva-tives such as credit defaul...
This article presents a framework for valuing a credit default swap (CDS) contract by taking counter...
Counterparty risk is becoming an important issue for over the counter trades. However, valuation of ...
The objective of this project is to investigate and model the quantitative connection between market...
This paper provides a methodology for valuing credit default swaps when the payoff is contingent on ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This article presents a new model for valuing a credit default swap (CDS) contract that is affected ...
This paper provides a methodology for valuing a credit default swap (CDS) with considering a counter...
Abstract. Modeling defaults is critical to pricing debt portfolio deriva-tives such as credit defaul...
This article presents a framework for valuing a credit default swap (CDS) contract by taking counter...
Counterparty risk is becoming an important issue for over the counter trades. However, valuation of ...
The objective of this project is to investigate and model the quantitative connection between market...