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MULTI-CURRENCY CREDIT DEFAULT SWAPS - MaRDI portal

MULTI-CURRENCY CREDIT DEFAULT SWAPS (Q5384682)

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scientific article; zbMATH DE number 7072674
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English
MULTI-CURRENCY CREDIT DEFAULT SWAPS
scientific article; zbMATH DE number 7072674

    Statements

    title
    MULTI-CURRENCY CREDIT DEFAULT SWAPS (English)
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    author
    Damiano Brigo
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    Nicola Pede
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    Andrea Petrelli
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    publication date
    24 June 2019
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    zbMATH Keywords
    credit default swaps
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    intensity models
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    reduced form models
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    credit crisis
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    liquidity crisis
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    devaluation jump
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    FX devaluation
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    quanto credit effects
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    quanto CDS
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    multi currency CDS
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G40
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    91B64
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    zbMATH DE Number
    7072674
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    OpenAlex ID
    W2936377275
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    Wikidata QID
    Q128013707
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