A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
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DOI: 10.1016/j.insmatheco.2016.10.004
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Cited by:
- Liu, Jing, 2018. "LLN-type approximations for large portfolio losses," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 71-77.
- Tang, Qihe & Tong, Zhiwei & Yang, Yang, 2021. "Large portfolio losses in a turbulent market," European Journal of Operational Research, Elsevier, vol. 292(2), pages 755-769.
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Keywords
; ; ; ; ;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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