Default Intensities implied by CDO Spreads : Inversion Formula and Model Calibration
Year of publication: |
2012
|
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Authors: | Cont, Rama |
Other Persons: | Deguest, Romain (contributor) ; Kan, Yu Hang (Gabriel) (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve |
Extent: | 1 Online-Ressource (39 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1447979 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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