Force-fitting CDS spreads to CDS index swaps
Year of publication: |
2011
|
---|---|
Authors: | O'Kane, Dominic |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 18.2011, 3, p. 61-74
|
Subject: | Asset-Backed Securities | Asset-backed securities | Risikoprämie | Risk premium | Swap | Messung | Measurement |
-
Force-Fitting CDS Spreads to CDS Index Swaps
O'Kane, Dominic, (2019)
-
Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian, (2014)
-
Do correlated defaults matter for CDS premia?
Koziol, Christian, (2015)
- More ...
-
Credit default swaps valuation
Chen, Ren-Raw, (2008)
-
Modelling single-name and multi-name credit derivatives
O'Kane, Dominic, (2008)
-
Approximating independent loss distributions with an adjusted binomial distribution
O'Kane, Dominic, (2011)
- More ...