Publication: Credit Barrier Models
All || By Area || By Year| Title | Credit Barrier Models | Authors/Editors* | C.Albanese, G. Campolieti, O. Chen, A. Zavidonov |
|---|---|
| Where published* | Risk |
| How published* | Journal |
| Year* | 2003 |
| Volume | 16 |
| Number | 6 |
| Pages | 109-113 |
| Publisher | |
| Keywords | |
| Link | |
| Abstract |
An analytic credit barrier model is constructed which is driven by credit ratings, constrained to fit the trem structure of credit spreads. |
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