Valuation of a Credit Swap of the Basket Type

By Masaaki Kijima. 2000

52 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f99781d6c56dc22fe94ecc88882987c930134652

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In Finance

1. Masaaki Kijima
2. Yukio Muromachi

Citations in the corpus

• Basket Default Swaps, Cdos and Factor Copulas (2005, unknown): “Some of the models in the literature (see Kijima [2000], Kijima & Muromachi [2000], Bielecki & Rutkowski [2001] and the discussion about a¢ne models below) make the following additional assumption of conditional independence (with respect to .”
• Credit Events and the Valuation of Credit Derivatives of Basket Type (2000, methodology): “See Das (1995), Longstaff and Schwartz (1995a), Das and Tufano (1996), Davis and Mavroidis (1997), Kijima and Komoribayashi (1998), Duffie (1998) and Kijima (1999, 2000) as examples of such literature.”