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Credit Events and the Valuation of Credit Derivatives of Basket Type · Study

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ArticleCredit Events and the Valuation of Credit Derivatives of Basket Type

Masaaki Kijima2000

Article2000

Credit Events and the Valuation of Credit Derivatives of Basket Type

Masaaki Kijima · Yukio Muromachi

43 citations·0/0 files stored·Review of Derivatives Research

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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*1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2014Introduction to Stochastic Processes 1990Pricing Interest-Rate-Derivative Securities 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1997A Markov Model for the Term Structure of Credit Risk Spreads

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2004Modeling and Valuation of Credit Risk 2006CREDIT RISK MODELS II: STRUCTURAL MODELS 2006Credit Risk Models I: Default Correlation in Intensity Models 2023Modelling Dynamic Portfolio Credit Risk 2000Valuation of a Credit Swap of the Basket Type 2003On the simulation of portfolios of interest rate and credit risk sensitive securities

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2002Pricing Credit Derivatives with Rating Transitionsarticle · 12 shared references 2000Estimating and Pricing Credit Risk: An Overviewarticle · 11 shared references 2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivativesarticle · 10 shared references 2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDYarticle · 10 shared references 2002Valuation of Defaultable Claims — A Surveyarticle · 10 shared references 2000Credit Risk Modelling and Credit Derivativesarticle · 10 shared references

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Year2000

Typearticle

Published2000-06-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations43

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1023/a:1009676412322

openalex_workW1540285226

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