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 protected]> [anl, aut, cre] Nicolò Manca <[email protected]> [anl, aut, cre]|
|Date of publication||2017-10-02 10:54:16 UTC|
|Maintainer||Alessandro Cimarelli <[email protected]>|
|License||MIT + file LICENSE|
|Package repository||View on CRAN|
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