search query: @author Hübner, G. / total: 4
reference: 3 / 4
| Author: | Hübner, G. |
| Title: | The analytic pricing of asymmetric defaultable swaps |
| Journal: | Journal of Banking and Finance
2001 : FEB, VOL. 25:2, p. 295-316 |
| Index terms: | DEFAULTS DERIVATIVE SECURITIES PRICING SWAPS |
| Language: | eng |
| Abstract: | Swaps where both parties are exposed to credit risk still lack convincing pricing mechanisms. This article presents a reduced-form model where the event of default is related to structural characteristics of each party. |
SCIMA