Campbell, Kristen and Chen, Yun and Edwards, David A. and Li, Yanyan and O’Connell, Sean and Patterson, Ryshon and Schleiniger, Gilberto and Schneider, Jodi and Tourrucoo, Fabricio and Yang, Gehua and Yuan, Juan-Ming (2001) Multi-Name Credit Derivatives. [Study Group Report]
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Abstract
The problem addressed in this report is that of pricing multi-name credit derivatives. These are default guarantee contracts on a basket of “names” whose default rates are correlated.
| Item Type: | Study Group Report |
|---|---|
| Problem Sectors: | Finance |
| Study Groups: | US Workshop on Mathematical Problems in Industry > 17th MPI [Rensselaer 4/6/2001 - 8/6/2001] |
| Company Name: | Nomura Securities International, Inc. |
| ID Code: | 254 |
| Deposited By: | Dr Kamel Bentahar |
| Deposited On: | 21 Oct 2009 16:55 |
| Last Modified: | 21 Oct 2009 16:55 |
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