Work

Counterparty risk valuation of k th-to-default credit-linked notes with contagion risk

Year: 2024

Type: article

Source: Communication in Statistics- Theory and Methods

DOI: 10.1080/03610926.2024.2396491

Authors: Kangquan Zhi, Xiaosong Qian, Pin Wang

Institutions: Xuzhou University of Technology, Soochow University, Zaozhuang University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Natural Science Foundation of China

Award: G5933003684

OpenAlex ID: W4402798079

FWCI: 0.36

Cites: 21

Cited by: 1

Related to: 10