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搜索结果: 1-4 共查到信贷理论 Counterparty risk相关记录4条 . 查询时间(0.087 秒)
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
Standard credit risk models cannot explain the observed clustering of default, sometimes described ascredit contagion.” This paper provides the first empirical analysis of credit contagion via direc...
In this paper we develop structural first passage models (AT1P and SBTV)with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, ...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...

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