Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
| Year of publication: |
2011
|
|---|---|
| Authors: | Liang, Jin ; Ma, Jun ; Wang, Tao ; Ji, Qin |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 1, p. 33-54
|
| Publisher: |
Springer |
| Subject: | Portfolio credit derivatives | Vasicek model | Credit default swaps | Collateralized debt obligation | Default intensity correlation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008926407