Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 1 (March)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Portfolio credit derivatives; Vasicek model; Credit default swaps; Collateralized debt obligation; Default intensity correlation;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Liang, Xue & Wang, Guojing & Dong, Yinghui, 2013. "A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 373-381.
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