ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
Year of publication: |
2007
|
---|---|
Authors: | FABOZZI, FRANK J. ; TUNARU, RADU |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 08, p. 1305-1321
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit risk modeling | credit default swap | survival probability curve | Kth-to-default | conditional probability |
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