Valuation of basket credit derivatives in the credit migrations environment
Tomasz R. Bielecki; Stéphane Crépey; Monique Jeanblanc; Marek Rutkowski
| Year of publication: |
2008
|
|---|---|
| Authors: | Bielecki, Tomasz R. ; Crépey, Stéphane ; Jeanblanc, Monique ; Rutkowski, Marek |
| Published in: |
Financial engineering. - Amsterdam : Elsevier, ISBN 0-444-51781-2. - 2008, p. 471-507
|
| Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Kreditsicherung | Collateral | Markov-Kette | Markov chain | Bewertung | Evaluation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003567710