Combining hazard rates with the CreditGrades model : a hybrid method to value CDS contracts
Chih-Wei Lee; Cheng-Kun Kuo
| Year of publication: |
December 2015
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|---|---|
| Authors: | Lee, Chih-Wei ; Kuo, Cheng-kun |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 4, p. 1-14
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| Subject: | Hazard rate model | CreditGrades model | credit default swap | structural model | Theorie | Theory | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786315500371 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011493111