eprintid: 254
rev_number: 14
eprint_status: archive
userid: 7
dir: disk0/00/00/02/54
datestamp: 2009-10-21 15:55:02
lastmod: 2015-05-29 19:52:06
status_changed: 2009-10-21 15:55:02
type: report
metadata_visibility: show
item_issues_count: 0
creators_name: Campbell, Kristen
creators_name: Chen, Yun
creators_name: Edwards, David A.
creators_name: Li, Yanyan
creators_name: O’Connell, Sean
creators_name: Patterson, Ryshon
creators_name: Schleiniger, Gilberto
creators_name: Schneider, Jodi
creators_name: Tourrucoo, Fabricio
creators_name: Yang, Gehua
creators_name: Yuan, Juan-Ming
corp_creators: Pat Hagan
title: Multi-Name Credit Derivatives
ispublished: pub
subjects: finance
studygroups: mpi17
companyname: Nomura Securities International, Inc.
full_text_status: public
abstract: 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
related_url_url: http://eaton.math.rpi.edu/Faculty/Schwendeman/Workshop/MPI.html
citation:   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]     
document_url: http://miis.maths.ox.ac.uk/miis/254/1/nomura01.pdf