## 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
β¦ LIBER β¦
Optimal Credit Swap Portfolios
β Scribed by Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry
- Book ID
- 126631263
- Publisher
- INFORMS
- Year
- 2014
- Tongue
- English
- Weight
- 414 KB
- Volume
- 60
- Category
- Article
- ISSN
- 0025-1909
No coin nor oath required. For personal study only.
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