On Pricing Credit Default Swaps
碩士 === 國立中央大學 === 統計研究所 === 100 === This paper presents a pricing framework of credit default swap (CDS), where the default intensity is driven by Cox-Ingersoll-Ross (CIR) model. CDS spreads from four European countries,such as Greece, Portugal, Spain, and Italy are considered in the empirical analy...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36244681286526036564 |