relation: http://miis.maths.ox.ac.uk/miis/254/
title: Multi-Name Credit Derivatives
creator: Campbell, Kristen
creator: Chen, Yun
creator: Edwards, David A.
creator: Li, Yanyan
creator: O’Connell, Sean
creator: Patterson, Ryshon
creator: Schleiniger, Gilberto
creator: Schneider, Jodi
creator: Tourrucoo, Fabricio
creator: Yang, Gehua
creator: Yuan, Juan-Ming
subject: Finance
description: 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.
date: 2001
type: Study Group Report
type: NonPeerReviewed
format: application/pdf
language: en
identifier: http://miis.maths.ox.ac.uk/miis/254/1/nomura01.pdf
identifier:   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]