ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS

DOI10.1142/S0219024907004664zbMath1141.91437OpenAlexW2061371500MaRDI QIDQ3503046

Frank J. Fabozzi, Radu S. Tunaru

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004664

zbMATH Keywords

conditional probabilitycredit default swapcredit risk modeling\(K\)th-to-defaultsurvival probability curve

Mathematics Subject Classification ID

Cites Work

• Credit events and the valuation of credit derivatives of basket type
• Valuation of a credit swap of the basket type