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Presentation . 2022
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Presentation . 2022
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Credit Derivative Pricing Model

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 29 Nov 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7832032 , 10.5281/zenodo.7378113 , 10.5281/zenodo.7378114

Credit Derivative Pricing Model

Abstract

We propose default correlation model and four credit default derivative pricing models, namely, single name credit default swaps with counterparty risk, First-to-Default basket default swaps, FirstNofN basket default swaps, and FirstLoss trades.

https://ia804703.us.archive.org/1/items/threeFactorConvertible/threeFactorConvertible.pdf

Keywords

Credit Derivative Pricing Model

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download
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
views
OpenAIRE UsageCountsViews provided by UsageCounts
downloads
OpenAIRE UsageCountsDownloads provided by UsageCounts
0
Average
Average
Average
3
11
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