Valuation of loan credit default swaps correlated prepayment and default risks with stochastic recovery rate
Year of publication: |
2012
|
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Authors: | Wu, Yuan ; Liang, Jin |
Published in: |
International journal of financial research. - Toronto : Sciedu Press, ISSN 1923-4023, ZDB-ID 2611282-6. - Vol. 3.2012, 2, p. 60-68
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Subject: | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Insolvenz | Insolvency | Finanzdienstleistung | Financial services | Theorie | Theory | Stochastischer Prozess | Stochastic process | Swap |
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