The valuation and Hedging of default-contingent claims in multiple currencies
This dissertation examines the pricing of the same credit risk in two currencies, and hence the valuation of credit-contingent foreign exchange products. Such pricing hinges upon the dependence of the credit risk and the foreign exchange rate. We recall the reduced-form model proposed by Ehlers (...
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| Format: | Others |
| Language: | en |
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2012
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| Online Access: | http://hdl.handle.net/10539/11955 |