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Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model

  • Jin Liang

    ()

  • Jun Ma
  • Tao Wang
  • Qin Ji
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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-010-9119-z
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 18 (2011)
    Issue (Month): 1 (March)
    Pages: 33-54

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    Handle: RePEc:kap:apfinm:v:18:y:2011:i:1:p:33-54
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
    2. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
    3. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
    4. Harry Zheng & Lishang Jiang, 2009. "Basket CDS pricing with interacting intensities," Finance and Stochastics, Springer, vol. 13(3), pages 445-469, September.
    5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    6. 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.
    7. Mark B. Wise & Vineer Bhansali, 2008. "Correlated Random Walks and the Joint Survival Probability," Papers 0812.2000, arXiv.org.
    8. Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski, 2005. "PDE approach to valuation and hedging of credit derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 257-270.
    9. 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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