An explicit, multi-factor credit default swap pricing model with correlated factors
Ren-Raw Chen, Xiaolin Cheng, Frank J. Fabozzi, and Bo Liu
| Year of publication: |
2008
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|---|---|
| Authors: | Chen, Ren-Raw ; Cheng, Xiaolin ; Fabozzi, Frank J. ; Liu, Bo |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 43.2008, 1, p. 123-160
|
| Subject: | Kreditderivat | Credit derivative | Schätzung | Estimation | Zinsstruktur | Yield curve | Theorie | Theory | 2000-2003 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003692397