𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Exploring the components of credit risk in credit default swaps

✍ Scribed by Frank J. Fabozzi; Xiaolin Cheng; Ren-Raw Chen


Book ID
116494771
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
112 KB
Volume
4
Category
Article
ISSN
1544-6123

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The delivery option in credit default sw
✍ Rainer Jankowitsch; Rainer Pullirsch; Tanja VeΕΎa πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 414 KB
The credit risk components of a swap por
✍ Georges HΓΌbner πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 178 KB

## Abstract Thanks to the recent development of analytical pricing models for swaps with bilateral credit risk, a comprehensive analysis of the dimensions of default risk has become possible. Using the model developed by HΓΌbner (2001) for IRS and CS, this article investigates the impact of structur