How correlation risk in basket credit derivatives might be priced and managed?
Zhu, Dong-Mei, Gu, Jia-wen, Yu, Feng-Hui, Ching, Wai-Ki, Siu, Tak-KuenJournal:
IMA Journal of Management Mathematics
DOI:
10.1093/imaman/dpaa013
Date:
June, 2020
File:
PDF, 568 KB
2020