Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework
Lei Ge and Xiaosong Qian and Xingye Yue
| Year of publication: |
2015
|
|---|---|
| Authors: | Ge, Lei ; Qian, Xiaosong ; Yue, Xingye |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 26.2015, 3, p. 325-344
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| Subject: | credit-linked note | reduced-form | CVA | Theorie | Theory | Derivat | Derivative | Kreditrisiko | Credit risk | Asset-Backed Securities | Asset-backed securities |
| 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/10011405431