Systematic and idiosyncratic default risk in synthetic credit markets

Journal of Financial Econometrics

Volumn 10, Issue 2, 2012, Pages 292-324

  Feldhütter, Peter ^a   Nielsen, Mads Stenbo ^b  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b Copenhagen Business School ^*  (Denmark)

Author keywords

CDO pricing; Correlated defaults; Credit risk; Intensity based model

Indexed keywords

EID: 84858167060     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbr011     Document Type: Article

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