Combining hazard rates with the CreditGrades model : a hybrid method to value CDS contracts
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 | Kreditderivat | Credit derivative | Theorie | Theory | Kreditrisiko | Credit risk | Mikroökonometrie | Microeconometrics | Kreditwürdigkeit | Credit rating | Modellierung | Scientific modelling |
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