Pages that link to "Item:Q506065"
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The following pages link to A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065):
Displaying 6 items.
- The crash-NIG factor model (Q487572) (← links)
- Pricing basket default swaps in a tractable shot noise model (Q553040) (← links)
- Common factors in credit defaults swap markets (Q740092) (← links)
- A mixed PDE-Monte Carlo approach for pricing credit default index swaptions (Q882492) (← links)
- LLN-type approximations for large portfolio losses (Q1667412) (← links)
- Large portfolio losses in a turbulent market (Q2030632) (← links)