Credit Modelling

Raymond H. Chan, Yves ZY. Guo, Spike T. Lee and Xun Li
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Raymond H. Chan: City University of Hong Kong
Yves ZY. Guo: BNP Paribas CIB
Spike T. Lee: The Chinese University of Hong Kong
Xun Li: The Hong Kong Polytechnic University

Chapter Chapter 22 in Financial Mathematics, Derivatives and Structured Products, 2019, pp 277-289 from Springer

Abstract: Abstract In this chapter, we study the case of default in credit modelling. Structural models and intensity models are first covered. We then study the pricing of some basket credit products, where correlated default is the main issue.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-13-3696-6_22

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DOI: 10.1007/978-981-13-3696-6_22

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