A Dynamic Model for Credit Index Derivatives
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Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
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- Kay Giesecke & Baeho Kim & Shilin Zhu, 2011. "Monte Carlo Algorithms for Default Timing Problems," Management Science, INFORMS, vol. 57(12), pages 2115-2129, December.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2009-11-14 (Risk Management)
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