Delayed Default Dependency and Default Contagion
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References listed on IDEAS
- Giesecke, Kay, 2001. "Correlated default with incomplete information," SFB 373 Discussion Papers 2002,30, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- 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.
- Robert A. Jarrow & Fan Yu, 2008.
"Counterparty Risk and the Pricing of Defaultable Securities,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515
World Scientific Publishing Co. Pte. Ltd..
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Balakrishna, B S, 2008. "Levy Density Based Intensity Modeling of the Correlation Smile," MPRA Paper 14922, University Library of Munich, Germany, revised 06 Apr 2009.
- Balakrishna, B S, 2010. "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper 26274, University Library of Munich, Germany.
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KeywordsDefault Risk; Default Correlation; Default Contagion; Delayed Default; CDO; Monte Carlo;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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