A Dynamic Model for Credit Index Derivatives
نویسندگان
چکیده
منابع مشابه
A Unified Model for Credit Derivatives
A framework is provided for pricing derivatives on defaultable bonds and other credit-risky contingent claims. The framework includes structural models (those in which the time of default is determined by the value of the issuing firm), general reduced-form models (those in which default is exogenous), and reducedform models in which default can occur only at specific times, such as coupon paym...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1502707