haku: @indexterm Defaults / yhteensä: 25
viite: 20 / 25
| Tekijä: | Jarrow, R.A. Yu, F. |
| Otsikko: | Counterparty risk and the pricing of defaultable securities |
| Lehti: | Journal of Finance
2001 : OCT, VOL. 56:5, p. 1765-1799 |
| Asiasana: | DEFAULTS FINANCIAL CRISES PRICING SECURITIES |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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