Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
Jin Liang (),
Tao Wang and
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)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:kap:apfinm:v:18:y:2011:i:1:p:33-54
Access Statistics for this article
Asia-Pacific Financial Markets is edited by Ryozo Miura
More articles in Asia-Pacific Financial Markets from Springer
Series data maintained by Guenther Eichhorn ().