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Risks and Rewards Newsletter, July 2003, Issue No. 42
simply the sum of the cost of protection for the individual names in the basket, since the expected loss ... assumptions used make a substantial impact on the valuation of a basket default swap. The credit derivatives ...- Authors: Nino A Boezio, Catherine Ehrlich, Martin Roy, Larry Rubin, Hubert B Mueller, Douglas A George, Teri Geske, Michael Bean, John Ryding, Leo Tilman, David Ingram, Christian Gilles, Ajay Rajadhyaksha
- Date: Jul 2003
- Publication Name: Risks & Rewards
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2003 Stochastic Modeling Symposium
2003 Stochastic Modeling Symposium Announcement of an upcoming 2003 Stochastic Modeling Symposium. ... rate models • Building efficient scenarios • Valuation, pricing and other applications using stochastic ...- Authors: Martin Roy
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods