Tommy Thomassin

HEC Montreal

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H2X 2L3

Canada

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Scholarly Papers (1)

1.

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Number of pages: 39 Posted: 17 Aug 2012 Last Revised: 08 Dec 2012
HEC Montreal - Department of Decision Sciences, University of Quebec at Montreal (UQAM) and HEC Montreal
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Abstract:

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Credit risk, recovery rate, CDS, hybrid model, intensity, VaR