Author: Backwell, Alex
Similar Items: Credit default swaps in a roll-over risk framework
- Estimating credit default swap spreads from equity data
- An application of short rate modelling involving roll-over risk to caplet pricing
- Credit valuation adjustments with application to credit default swaps
- Quantitative models for prudential credit risk management
- The Effect of Dataset Size on the Performance of Classification Algorithms for Credit Scoring
- Accounting for roll-over risk in the pricing of caps and floors