portfolio credit derivatives
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A factor contagion model for portfolio credit derivatives

2014 ◽  
Vol 15 (9) ◽  
pp. 1571-1582 ◽  
Author(s):  
Geon Ho Choe ◽  
Hyun Jin Jang ◽  
Soon Won Kwon
Keyword(s):  
Credit Derivatives ◽  
Contagion Model ◽  
Portfolio Credit Derivatives

scholarly journals Dynamic Hedging of Portfolio Credit Derivatives

2011 ◽  
Vol 2 (1) ◽  
pp. 112-140 ◽  
Author(s):  
Rama Cont ◽  
Yu Hang Kan
Keyword(s):  
Credit Derivatives ◽  
Dynamic Hedging ◽  
Portfolio Credit Derivatives

Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model

2010 ◽  
Vol 18 (1) ◽  
pp. 33-54 ◽  
Author(s):  
Jin Liang ◽  
Jun Mei Ma ◽  
Tao Wang ◽  
Qin Ji
Keyword(s):  
Credit Derivatives ◽  
Vasicek Model ◽  
Portfolio Credit Derivatives
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