Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".
|Author||Alessandro Cimarelli <email@example.com> [anl, aut, cre] Nicolò Manca <firstname.lastname@example.org> [anl, aut, cre]|
|Maintainer||Alessandro Cimarelli <email@example.com>|
|License||MIT + file LICENSE|
|Package repository||View on CRAN|
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