Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model

Jin Liang (), Jun Ma, Tao Wang and Qin Ji

Asia-Pacific Financial Markets, 2011, vol. 18, issue 1, pages 33-54

Keywords: Portfolio credit derivatives; Vasicek model; Credit default swaps; Collateralized debt obligation; Default intensity correlation (search for similar items in EconPapers)
Date: 2011
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