Correlated defaults in intensity-based models

Mathematical Finance

Volumn 17, Issue 2, 2007, Pages 155-173

  Yu, Fan ^a,b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Basket credit derivative; Copula function; Correlated default; Default intensity; Total hazard construction

Indexed keywords

EID: 33947313856     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00298.x     Document Type: Article

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