type="main" xml:lang="en" <p>Basket credit derivatives are those financial contracts whose pay–out depends on the credit events (‘failure to pay’, ‘default’, etc.) characterizing a portfolio of bonds or loans over a determined time horizon. <p>We have two main categories of basket credit...</p></p>

type="main" xml:lang="en" <p>In this article, we aim to show that most of the recent multifactor specifications of the term structure can be traced back to a common general equilibrium model, based on an economy of the Cox, Ingersoll and Ross type. This base model of the term structure has a very...</p>