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order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap …
Persistent link: https://www.econbiz.de/10003721579
In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat both categories independently in the calculation of risk capital. In practice positions in a portfolio depend simultaneously on both market and credit risk factors. In this case,...
Persistent link: https://www.econbiz.de/10003721591