Pricing the Risks of Default

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This paper models default risk as composed of arrival and magnitude risks. In our model the two default components are explicitly priced as if they were traded

Credit Risk

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In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk

Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization

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Research Paper (undergraduate) from the year 2018 in the subject Business economics - Investment and Finance, grade: 10, , language: English, abstract: This art

On the Pricing of Default Risk

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Credit Risk Pricing Models

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Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not o