Modelling Single-name and Multi-name Credit Derivatives: O'Kane/Modelling
Modelling Single-name and Multi-name Credit Derivatives: O'Kane/Modelling
D. O'Kane
2008 · DOI: 10.1002/9781119201960
157 Citations
TLDR
This chapter discusses the Credit Derivatives Market, specifically the single-name Credit Modelling and multi-tranche Debt Obligations, and the CDS Portfolio Indices, which are based on the Gaussian Latent Variable Model.
