South Kensington Campus
Imperial College
LONDON, SW7 2AZ
United Kingdom
Imperial College London - Department of Mathematics
Credit Default Swaps, Liquidity spread, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis, Devaluation jump, FX devaluation, Quanto Credit effects, Quanto CDS, Multi currency CDS
Contingent Capital, CoCo Bonds, AT1P model, Firm Value Models, Credit Default Swap Calibration, Conversion Time, Default Time, Hybrid Credit-Equity Products, Basel III, Systemic Risk
