Pricing catastrophe swaps with default risk and stochastic interest rates
Chien-Ling Lo, Carolyn W. Chang, Jin-Ping Lee, Min-Teh Yu
| Year of publication: |
2021
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|---|---|
| Authors: | Lo, Chien-Ling ; Chang, Carolyn C. W. ; Lee, Jin-Ping ; Yu, Min-Teh |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 68.2021, p. 1-16
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| Subject: | Basis risk | Catastrophe risk | Counterparty risk | Stochastic interest rates | Swap | Swap spread | Kreditrisiko | Credit risk | Zinsderivat | Interest rate derivative | Theorie | Theory | Risiko | Risk | Derivat | Derivative | Katastrophe | Disaster | Risikomodell | Risk model | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2020.101314 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013332712