2004•SSRN Electronic JournalOpen access

Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model

Damiano Brigo, Marco Tarenghi

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Key concepts: Credit valuation adjustment, Credit default swap, Swap (finance), Valuation (finance), Credit risk, Equity (law), Variance swap, Actuarial science

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