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- Credit Switch
- A credit switch is the simultaneous purchase of credit protection on one asset and the sale of credit protection on another asset. This article provides a model for valuing this credit derivative whose payoff depends on the identities of a given list of credit events, such as defaults. The survival...
- White papers 2001-07-31
- Measuring Default Premiums Using the Cox Process With Shot Noise Intensity
- The paper employs the Cox process with shot noise intensity to model the default time. The survival probability is derived based on the Cox process with shot noise intensity that has doubly stochastic property. As an interest rate process for non defaultable bond, i.e. a government bond, we use a...
- White papers 2004-07-14
Additional Resources
- Polite or panicky may depend on time to react
- WASHINGTON - When the ship is sinking is it really women and children first, or every man for himself? The answer, it seems, may depend on how fast it's going down. Comparing who survived two of history's most famous sinkings — the Titanic and the Lusitania — indicates sharply different...
- News items 2010-03-02
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