LIN, JIANWEI; LIANG, GECHUN; WU, SEN; ZHENG, HARRY - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 02, pp. 213-238
This paper considers the valuation problem of basket CDSs. Based on the construction of total hazard rates, the paper develops the work of Zheng and Jiang Zheng and Jiang (2009) from the homogenous case to the primary-subsidiary heterogenous case in the interacting intensity framework, and...