The impact of margin interest on the valuation of credit default swaps
Year of publication: |
2012
|
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Authors: | Kan, Yu Hang ; Pedersen, Claus |
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. 20.2012, 1, p. 60-79
|
Subject: | Kreditderivat | Credit derivative | Swap | Insolvenz | Insolvency | Derivat | Derivative | Kreditrisiko | Credit risk |
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THE IMPACT OF MARGIN INTEREST ON THE VALUATION OF CREDIT DEFAULT SWAPS
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