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

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

Bibliographische Detailangaben
Veröffentlicht in:Journal of financial and quantitative analysis V.43, 1-4 (2008).
1. Verfasser: Chen, Ren-raw
Format: Artikel
Sprache:English
Schlagworte:
Credit ratings.
Swaps (Finance)
Bond market.
Estimation theory.
Federal funds markets (United States)
Valuation.