Valuation of a Credit Swap of the Basket Type

• 1 January 2000
• journal article
• Published by Springer Nature in Review of Derivatives Research
• Vol. 4  (1) , 81-97
• https://doi.org/10.1023/a:1009628513231

Abstract

Keywords

• RISK-NEUTRAL VALUATION
• CONDITIONAL INDEPENDENCE
• JOINT SURVIVAL PROBABILITY
• EXTENDED VASICEK MODEL.
• DEFAULT INTENSITY PROCESS