The MIIS Eprints Archive

Multi-Name Credit Derivatives

Campbell, Kristen and Chen, Yun and Edwards, David A. and Li, Yanyan and O’Connell, Sean and Patterson, Ryshon and Schleiniger, Gilberto and Schneider, Jodi and Tourrucoo, Fabricio and Yang, Gehua and Yuan, Juan-Ming (2001) Multi-Name Credit Derivatives. [Study Group Report]



The problem addressed in this report is that of pricing multi-name credit derivatives. These are default guarantee contracts on a basket of “names” whose default rates are correlated.

Item Type:Study Group Report
Problem Sectors:Finance
Study Groups:US Workshop on Mathematical Problems in Industry > 17th MPI [Rensselaer 4/6/2001 - 8/6/2001]
Company Name:Nomura Securities International, Inc.
ID Code:254
Deposited By: Dr Kamel Bentahar
Deposited On:21 Oct 2009 15:55
Last Modified:29 May 2015 19:52

Repository Staff Only: item control page