Credit derivatives: I will survive - The authors apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of deltas.
| Year of publication: |
2003
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|---|---|
| Authors: | Gregory, Jon ; Laurent, Jean-Paul |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 6, p. 103-108
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