搜索结果: 1-6 共查到“货币银行学 swap”相关记录6条 . 查询时间(0.078 秒)
CENTRAL BANK DOLLAR SWAP LINES AND OVERSEAS DOLLAR FUNDING COSTS
information history of central bank swap facilities efficacy of the swaps
2011/9/26
The article offers information on the history of central bank (CB) dollar swap facilities, the changes in volume and breadth as the conditions for funding evolved, and economic researches that documen...
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2009/5/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the p...
同济大学现代金融市场概论课件SWAP: Currency and Interest Raten。
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Credit Derivatives Structural Models Black Cox Model Credit Default Swaps
2010/11/3
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to cal-ibrate the model using a chosen number of Cred...