FABOZZI, FRANK J.; TUNARU, RADU - In: International Journal of Theoretical and Applied … 10 (2007) 08, pp. 1305-1321
The survival probability term structure has become the main concept in modeling credit risk for pricing, risk management, and investment decisions. The Kth-to-default contract is not only a relatively liquid credit risk instrument but also a vehicle that credit rating agencies employ to...