Building Models for Credit Spreads

Angelo Arvanitis, Jonathan Gregory and Jean-Paul Laurent ()
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Angelo Arvanitis: BNP-Paribas
Jonathan Gregory: BNP-Paribas
Jean-Paul Laurent: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Date: 1999-02-28
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Published in Journal of Derivatives, 1999, 6 (3), pp.27-43. ⟨10.3905/jod.1999.319117⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679527

DOI: 10.3905/jod.1999.319117

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