Economics, Econometrics and Finance
8 years ago

New method values basket credit derivatives in changing credit environments.

Handbooks in operations research and management science
Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski

Paper Summary

The article discusses a method for valuing and protecting basket credit derivatives and credit portfolios with different credit ratings. The method is based on a specific financial market model.

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