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 ...
SHOW LESS
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
<strong>Credit</strong> Swap Pricing: Illustration<br />
Counterparty<br />
A<br />
Payment<br />
Zero<br />
??? bps per period<br />
<strong>Credit</strong> event<br />
No credit event<br />
Counterparty<br />
B<br />
Reference <strong>Credit</strong>: Company X<br />
Swap Tenor: 3 Years<br />
Event Payment: Par - Post Default Market Value
Change language