On pricing basket credit default swaps

被引：11
|
作者：
Gu, Jia-Wen [1 ]
Ching, Wai-Ki [1 ]
Siu, Tak-Kuen [2 ,3 ]
Zheng, Harry [4 ]
机构：
[1] Univ Hong Kong, Dept Math, Adv Modeling & Appl Comp Lab, Hong Kong, Hong Kong, Peoples R China
[2] City Univ London, Cass Business Sch, London ECY1 8TZ, England
[3] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia
[4] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England
来源：
QUANTITATIVE FINANCE | 2013年 / 13卷 / 12期
关键词：
DEBT; RISK;
D O I：
10.1080/14697688.2013.783713
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：1845 / 1854
页数：10
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