Credit derivatives - Let's jump together: Pricing credit derivatives - The authors introduce a dynamic multivariate jump-driven model for credit spreads. The model parameters come from a calibration on swaptions and a correlation-matching procedure. The authors apply the model to credit constant proportion portfolio insurance and constant proportion debt obligation (CPDO) structures, and point out ...
Year of publication: |
2008
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Authors: | Garcia, Joao ; Goossens, Serge ; Schoutens, Wim |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 9, p. 130-133
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