A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks

Keyphrases

• Correlated Defaults 100%
• Credit Derivatives 100%
• Default Risk 50%
• Computational Algorithm 25%
• Numerical Examples 25%
• Term Structure of Interest Rates 25%
• Risk Structure 25%
• Credit Spread Option 25%
• Interest Rate Volatility 25%
• Multinomial Model 25%

Economics, Econometrics and Finance

• Credit Derivative 100%
• Volatility 20%
• Yield Curve 20%