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- W2333768253 abstract "AbstractModeling of credit events and related credit derivatives in terms of hazard processes of associated random times has gained much attention in the literature in the recent years. Such an approach to the subject was termed the intensity-based approach. Basket credit derivatives are financial derivatives products deriving their value from changes in credit quality of several underlying credit entities (credit names). We present here some recent results aiming at intensity-based valuation of basket credit derivatives within the context of so-called conditionally independent defaults." @default.
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- W2333768253 date "2001-01-01" @default.
- W2333768253 modified "2023-09-27" @default.
- W2333768253 title "Intensity-Based Valuation of Basket Credit Derivatives" @default.
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