Pricing Credit Default Swaps with the Intersection of Bilateral Counterparty, Reference and Market Risks
碩士 === 國立高雄第一科技大學 === 財務管理所 === 93 === In this paper, we extend the model setup of Jarrow and Yu (2001), Jarrow and Turnbull (2000), Kusuoka (1999) to derive the credit default swaps with the intersection of bilateral counterparties, reference and market risks. We first derive the pricing formulas f...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68940254935959203672 |