Credit Derivatives
In: Handbook of the Economics of Finance
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DOI: 10.1016/B978-0-44-459406-8.00020-2
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References listed on IDEAS
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Cited by:
- Han, Meng & He, Yeqi & Zhang, Hu, 2013. "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper 44495, University Library of Munich, Germany.
- Heaton, J.B., 2018. "Risk aversion as risk-neutral pessimism: A simple proof," International Review of Law and Economics, Elsevier, vol. 56(C), pages 70-72.
- Hunzinger, Chadd B. & Labuschagne, Coenraad C.A., 2014. "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 200-217.
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Keywords
Credit; Credit risk; Default; Default probability; Credit default Swap; CDS; Collateralized debt obligations; CDO; Synthetic CDO; Index CDO; Asset backed security; ABS; Copula; Gaussian copula; Subprime mortgage;All these keywords.
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