A Spread-Based Model for Valuing Credit Risk Derivatives under Correlated Defaults
碩士 === 國立中央大學 === 財務金融研究所 === 92 === We develop a lattice model to characterize multi-firms’ correlated credit risk. When valuing credit derivatives, our approach allows one to incorporate not only the correlative market and credit risk, but also takes the interdependent default risk structure and c...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37478650766859443453 |