Calibrating risk-neutral default correlation
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Abstract
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Other versions of this item:
- Elisa Luciano, 2007. "Calibrating risk‐neutral default correlation," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 8(5), pages 450-464, November.
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Cited by:
- Kwamie Dunbar & Albert J. Edwards, 2007. "Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect," Working papers 2007-10, University of Connecticut, Department of Economics.
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JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-06-05 (Finance)
- NEP-RMG-2005-06-05 (Risk Management)
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