| Author: | Jarrow, R.A. Yu, F. |
| Title: | Counterparty risk and the pricing of defaultable securities |
| Journal: | Journal of Finance
2001 : OCT, VOL. 56:5, p. 1765-1799 |
| Index terms: | DEFAULTS FINANCIAL CRISES PRICING SECURITIES |
| Language: | eng |
| Abstract: | Motivated by recent financial crises in East Asia and the United States where the downfall of a small number of firms had an economy-wide impact, this paper generalizes existing reduced-form models to include default intensities dependent on the default of a counterparty. |
SCIMA