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Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models · Study

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PreprintSemi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models

Allan Mortensen2005

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Preprintgreen2005

Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models

Allan Mortensen

29 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*2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1999Modeling Term Structures of Defaultable Bonds 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2000On Default Correlation 1998On cox processes and credit risky securities

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2010Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration 2010On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches

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2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Modelsarticle · 20 shared references 2006Credit Risk Models I: Default Correlation in Intensity Modelspreprint · 11 shared references 2004Credit Risk Modelingchapter · 10 shared references 2014Credit Default Swaps: A Surveyarticle · 10 shared references 2005Credit risk modeling with affine processesarticle · 10 shared references 2007Firm heterogeneity and credit risk diversificationarticle · 10 shared references

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Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.663425

openalex_workW2045394289

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