𝔖 Bobbio Scriptorium
✦   LIBER   ✦

ON SURRENDER AND DEFAULT RISKS

✍ Scribed by Olivier Le Courtois; Hidetoshi Nakagawa


Book ID
111043237
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
219 KB
Volume
23
Category
Article
ISSN
0960-1627

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## Abstract This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables h