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Search: subject:"Basket credit default swaps"
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Credit derivative
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Derivat
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Derivative
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Multivariate Verteilung
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basket credit default swaps
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CDO squared distributions
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default times
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edging
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Ching, Wai Ki
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Umeorah, Nneka
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IMA journal of management mathematics
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Quantitative Finance
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The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
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Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka
;
Mashele, Phillip
;
Ehrhardt, Matthias
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
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2
How correlation risk in basket credit derivatives might be priced and managed?
Zhu, Dong-Mei
;
Gu, Jia-wen
;
Yu, Feng-Hui
;
Ching, Wai Ki
; …
- In:
IMA journal of management mathematics
32
(
2021
)
2
,
pp. 195-219
Persistent link: https://www.econbiz.de/10012434401
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3
Efficient hybrid methods for portfolio credit derivatives
Zheng, H.
- In:
Quantitative Finance
6
(
2006
)
4
,
pp. 349-357
In this paper we discuss the computation of
basket
credit
default
swaps
and collateralized debt obligation squared …
Persistent link: https://www.econbiz.de/10005639924
Saved in:
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