Default risk in a market model

Journal of Banking and Finance

Volumn 24, Issue 1-2, 2000, Pages 301-327

  Lotz, Christopher ^a   Schlögl, Lutz ^a  

^a UNIVERSITY OF BONN   (Germany)

Author keywords

Credit risk; E43; Forward rate agreements; G30; G33; Market model; Swaps

Indexed keywords

EID: 0043141507     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00061-8     Document Type: Article

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