Structural default model with mutual obligations
Year of publication: |
April 2017
|
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Authors: | Itkin, Andrey ; Lipton, Alexander |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 20.2017, 1, p. 15-46
|
Subject: | 2D structural default model | Mutual obligations | Joint and marginal survival probabilities | CDS and First-to-Default swap prices | Theorie | Theory | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Swap |
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