Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Damiano Brigo; Kyriakos Chourdakis
| Year of publication: |
2009
|
|---|---|
| Authors: | Brigo, Damiano ; Chourdakis, Kyriakos |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 7, p. 1007-1026
|
| Subject: | Adressenausfallrisiko | Kreditversicherung | Credit insurance | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003928780