Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10008926017
We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is modelled by letting the individual jumps of the default intensity be driven by a common latent factor. The arrival of the jumps is driven by a Poisson process. By using conditional...
Persistent link: https://www.econbiz.de/10009143273
Persistent link: https://www.econbiz.de/10012882005