Narrow search
Showing 1 - 3 of 3
Cover Image
A Valuation Model for ABS Cdos
Manzano, Julian; Kamotski, Vladimir; Pesavento, Umberto; … - In: The Oxford handbook of credit derivatives. 2012
Persistent link: https://www.econbiz.de/10012881997
Cover Image
Credit value adjustment for credit default swaps via the structural default model
Lipton, Alexander; Sepp, Artur - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 127-150
Persistent link: https://www.econbiz.de/10003874116
Cover Image
Credit Value Adjustment for Credit Default Swaps via the Structural Default Model
Lipton, Alex - 2013
We propose a structural default model to evaluate the counterparty risk by trading in credit default swap (CDS) contracts. We model the joint evolution of the firm value of the entity underlying the CDS contract and the counterparty using a correlated jump-diffusion process. Unlike the...
Persistent link: https://www.econbiz.de/10013090076