BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
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- Christian Koziol & Philipp Koziol & Thomas Schön, 2015.
"Do correlated defaults matter for CDS premia? An empirical analysis,"
Review of Derivatives Research,
Springer, vol. 18(3), pages 191-224, October.
- Koziol, Christian & Koziol, Philipp & Schön, Thomas, 2014. "Do correlated defaults matter for CDS premia? An empirical analysis," Discussion Papers 21/2014, Deutsche Bundesbank.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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