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Displaying 1 - 2 of 2
Implied default risk in European interbank lending markets
Author: Chan, Celene
Date created: 2011-12-08
A First Passage Time Model for Counterparty Default
FRM Project-Simon Fraser University
Author: Yin, Hongyan
Date created: 2011-08

Date created

Resource type

  • Graduating extended essay / Research project (2)

Collection

  • Beedie School of Business: Segal Graduate School Final Projects (1)
  • Economics Theses (1)

Scholarly level

  • Graduate student (Masters) (2)

Author

  • Chan, Celene (1)
  • Yin, Hongyan (1)

Thesis Advisor

Peer reviewed?

  • No (1)

Keywords

  • (-) Credit default swap (2)
  • Counterparty risk (1)
  • Default risk (1)
  • EURIBOR (1)
  • First passage time model (1)
  • Interbank lending (1)
  • Interest rate swap (1)
  • Monte Carlo simulation (1)
  • Sovereign debt (1)
  • Wrong way risk (1)

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