How well do classical credit risk pricing models fit swap transaction data?
Year of publication: |
1998
|
---|---|
Authors: | Cossin, Didier |
Other Persons: | Pirotte, Hugues (contributor) |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 4.1998, 1, p. 65-77
|
Subject: | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Swap | Theorie | Theory |
-
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan, (2014)
-
Optimal portfolios with credit default swaps
Ambrosini, Giuseppe, (2018)
-
Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav, (2017)
- More ...
-
Pirotte, Hugues, (2000)
-
How well do classical credit risk pricing models fit swap transaction data?
Pirotte, Hugues, (1998)
-
Swap Credit Risk: An Empirical Investigation on Transaction Data.
Pirotte, Hugues, (1997)
- More ...