An explicit, multi-factor credit default swap pricing model with correlated factors.

An explicit, multi-factor credit default swap pricing model with correlated factors.

Bibliographic Details
Published in:Journal of financial and quantitative analysis V.43, 1-4 (2008).
Main Author: Chen, Ren-raw
Format: Article
Language:English
Subjects:
Credit ratings.
Swaps (Finance)
Bond market.
Estimation theory.
Federal funds markets (United States)
Valuation.