Open AccessThe kth Default Time Distribution and Basket Default Swap Pricing
Author(s) -
Geon Ho Choe,
Hyun Jin Jang
Publication year - 2009
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1382002
Subject(s) - swap (finance) , itraxx , business , credit default swap , financial economics , econometrics , economics , actuarial science , finance , credit risk , credit valuation adjustment , credit reference
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