Marek Rutkowski
Abstract
This chapter contains sections titled: Introduction Credit Default Swaps Options on Credit Default Swaps CIR Default Intensity Model Options on Credit Default Indexes Market Models for CDS Spreads Acknowledgments
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This chapter contains sections titled: Introduction Credit Default Swaps Options on Credit Default Swaps CIR Default Intensity Model Options on Credit Default Indexes Market Models for CDS Spreads Acknowledgments
Key concepts: Credit default swap, Credit derivative, iTraxx, Credit default swap index, Synthetic CDO, Credit risk, Market liquidity, Credit event