PRICING FIRST-TO-DEFAULT CREDIT LINKED NOTES WITH THE INTERSECTION OF MARKET AND CREDIT RISKS
碩士 === 國立高雄第一科技大學 === 財務管理所 === 93 === Abstract In practice, the first-to-default credit linked notes (hereafter CLNs) can be issued by the special purpose vehicles (hereafter SPVs) and the protection buyers who own the reference obligations. The first contribution of this paper is to derive the clo...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/18799305375456562220 |