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Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach · Study

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PreprintPricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach

Roy Mashal2002

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Preprintgreen2002

Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach

Roy Mashal · Marco Naldi

21 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999An Introduction to Copulas 1993Dynamic Asset Pricing Theory.1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 2002Correlation and Dependence in Risk Management: Properties and Pitfalls

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2006Credit Risk Models I: Default Correlation in Intensity Modelspreprint · 14 shared references 2005Credit risk modeling with affine processesarticle · 13 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 11 shared references 2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDYarticle · 11 shared references 2004Bond Pricing with Default Riskpreprint · 11 shared references 2002Valuation of Defaultable Claims — A Surveyarticle · 11 shared references

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Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.296402

openalex_workW1509869658

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