Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
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Volume (Year): 18 (2011)
Issue (Month): 1 (March)
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- Zhou, Chunsheng, 2001. "An Analysis of Default Correlations and Multiple Defaults," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 555-76.
- Mark B. Wise & Vineer Bhansali, 2008. "Correlated Random Walks and the Joint Survival Probability," Papers 0812.2000, arXiv.org.
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- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
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