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American Step-Up and Step-Down Credit Default Swaps under Levy Models
optimal stopping credit default swaps step-up and step-down options
2011/3/2
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded
option to switch to a different premium and notional principal anytime prior to a credit event.
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity spread Liquidity Premium Credit Liquidity correlation Liquidity pricing Intensity models Reduced Form Models Capital AssetPricing Model Credit Crisis Liquidity Crisis
2010/4/27
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...