Credit Derivatives
Rossano Giandomenico
MPRA Paper from University Library of Munich, Germany
Abstract:
The article presents a survey of the principal quantitative tools adopted by the major financial institutions in the credit market, pointing out their limits and new directions.
Keywords: Implied Default Probability; Implied Correlation; Implied Time to Default (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2010-02-21
New Economics Papers: this item is included in nep-ban, nep-mic and nep-rmg
References: Add references at CitEc
Citations:
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/21793/1/MPRA_paper_21793.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/24926/1/MPRA_paper_24926.pdf revised version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21793
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().