Arbitrage-free credit pricing using default probabilities and risk sensitivities

Journal of Banking and Finance

Volumn 35, Issue 2, 2011, Pages 268-281

  Blöchlinger, Andreas ^a  

^a Cantonal Bank of Zurich   (Switzerland)

Author keywords

Arbitrage pricing theory; Collateralized debt obligation; Esscher's measure change; Generalized linear mixed model; Risk neutral default probability

Indexed keywords

EID: 77956108827     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.08.005     Document Type: Article

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