Credit events and the valuation of credit derivatives of basket type
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Publication:375319
DOI10.1023/A:1009676412322zbMath1274.91418MaRDI QIDQ375319
Yukio Muromachi, Masaaki Kijima
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
conditional independencedefault intensity processextended Vasicek modeljoint survival functionrisk-neutral valuation
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