haku: @indexterm SWAPS / yhteensä: 38
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Tekijä: | Hübner, G. |
Otsikko: | The analytic pricing of asymmetric defaultable swaps |
Lehti: | Journal of Banking and Finance
2001 : FEB, VOL. 25:2, p. 295-316 |
Asiasana: | DEFAULTS DERIVATIVE SECURITIES PRICING SWAPS |
Kieli: | eng |
Tiivistelmä: | 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