Pricing of Basket CDS with Bilateral Default Risk under Vasicek Model with Circular Contagion
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DOI: 10.1155/2023/8960259
Abstract: In this study, on the basis of basket CDS, we take into account the complex correlations among market participants and choose to use the contagion model to price basket CDS. This study assumes that a… read more here.
Keywords: default; vasicek model; contagion; basket ... See more keywords