The Valuation of Basket Credit Derivatives: A Copula Function ...
The Valuation of Basket Credit Derivatives: A Copula Function ...
The Valuation of Basket Credit Derivatives: A Copula Function ...
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<strong>Credit</strong> Derivative Products<br />
Total return swap<br />
Default contingent<br />
forward<br />
Corporate loans<br />
Corporate bonds<br />
Sovereign bonds/loans<br />
Structures<br />
<strong>Credit</strong> swap<br />
<strong>Credit</strong> linked note<br />
Underlying Assets<br />
Spread forward<br />
Spread option<br />
Specified loans or bonds<br />
Portfolio <strong>of</strong> loans or bonds
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