Holger Rootzén

Chalmers University of Technology

Professor

Gothenburg

SE-412 96 Goteborg

Sweden

  • Chalmers University of Technology

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Pricing kth-to-Default Swaps Under Default Contagion: The Matrix-Analytic Approach

Number of pages: 27 Posted: 09 Feb 2007
Alexander Herbertsson and Holger Rootzén
University of Gothenburg - Department of Economics/Centre for Finance and Chalmers University of Technology
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Citation 7

Abstract:

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Portfolio credit risk, intensity-based models, default dependence modelling, default contagion, CDS, kth-to-default swaps, Markov jump processes, Matrix-analytic methods