Pricing Credit Derivatives with Rating Transitions
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More about this item
Keywordscredit derivatives; credit sensitive note; HJM model; rating transitions; risky debt;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-02-18 (All new papers)
- NEP-CFN-2003-02-18 (Corporate Finance)
- NEP-FIN-2003-02-18 (Finance)
- NEP-FMK-2003-02-18 (Financial Markets)
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