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Volumn 14, Issue 2, 2001, Pages 555-576

An analysis of default correlations and multiple defaults

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0035614682     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/14.2.555     Document Type: Article
Times cited : (159)

References (20)
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    • Fons, J., 1994, "Using Default Rates to Model the Term Structure of Credit Risk," Financial Analysts Journal, September-October, 25-32.
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    • Longstaff, F. A., and E. S. Schwartz, 1995, "A Simple Approach to Valuing Risky and Floating Rate Debt," Journal of Finance, 50, 789-819.
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  • 15
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    • Default correlation and credit analysis
    • March
    • Lucas, D. J., 1995, "Default Correlation and Credit Analysis," Journal of Fixed Income, March, 76-87.
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  • 19
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    • The term structure of credit spreads with jump risk
    • forthcoming
    • Zhou, C., 2001a, "The Term Structure of Credit Spreads with Jump Risk," forthcoming, Journal of Banking and Finance.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.