An explicit, multi-factor credit default swap pricing model with correlated factors

Journal of Financial and Quantitative Analysis

Volumn 43, Issue 1, 2008, Pages 123-160

  Chen, Ren Raw ^a   Cheng, Xiaolin ^b   Fabozzi, Frank J ^c   Liu, Bo ^d  

^a RUTGERS UNIVERSITY   (United States)

^b MOODY'S INVESTORS SERVICE   (United States)

^c YALE UNIVERSITY   (United States)

^d CITIGROUP   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 41149086641     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000002775     Document Type: Article

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