Portfolio Selection with a kth-to-default Credit-Linked Note
Author:
Publisher
Elsevier BV
Subject
General Earth and Planetary Sciences,General Environmental Science
Reference25 articles.
1. Exploring the sources of default clustering;S Azizpour;Journal of Financial Economics,2018
2. A general framework for pricing credit risk;A B�langer;Mathematical Finance,2004
3. Portfolio optimization with a defaultable security;T R Bielecki;Asia-Pacific Financial Markets,2006
4. Pricing and trading credit default swaps in a hazard process model;T R Bielecki;Annals of Applied Probability,2008
5. Optimal investment in credit derivatives portfolio under contagion risk;L Bo;Mathematical Finance,2016
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