Pricing loan CDS with vasicek interest rate under the contagious model
Year of publication: |
August 2016
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Authors: | Liu, Yinglin ; Hao, Ruili ; Wang, Zuhua |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 3, p. 416-430
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Subject: | Loan CDS | Contagious Risk | Vasicek Interest Rate | Primary-Secondary Framework | Zins | Interest rate | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Risikoprämie | Risk premium |
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