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Swap Pricing with Two-Sided Default Risk in a Rating-Based Model · Study

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PreprintSwap Pricing with Two-Sided Default Risk in a Rating-Based Model

David Lando2001

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Preprintgreen2001

Swap Pricing with Two-Sided Default Risk in a Rating-Based Model

David Lando · Brian Norsk Huge

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

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Credit Risk and Financial Regulations Corporate Insolvency and Governance Stochastic processes and financial applications

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References

1993Dynamic Asset Pricing Theory.1999Modeling Term Structures of Defaultable Bonds 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1997A Markov Model for the Term Structure of Credit Risk Spreads 2001Term Structures of Credit Spreads with Incomplete Accounting Information 1998On cox processes and credit risky securities 1990Stochastic Integration and Differential Equations 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields

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2000Credit Risk Modelling and Credit Derivativesarticle · 14 shared references 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISKarticle · 13 shared references 1999Swap Pricing with Two-Sided Default Risk in a Rating-Based Modelarticle · 12 shared references 2002Pricing Credit Derivatives with Rating Transitionsarticle · 12 shared references 2005Credit risk modeling with affine processesarticle · 11 shared references 2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivativesarticle · 11 shared references

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Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.275810

openalex_workW238102788

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