Abstract
The next two chapters are devoted to the study of mutually dependent default times within the framework of the intensity-based approach. In case of conditionally independent default times studied in this chapter, we are able to establish closed-form pricing results for the i th-to-default contingent claim. In general, the issue becomes much more complicated, and we only provide partial results in the next chapter.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Bielecki, T.R., Rutkowski, M. (2004). Conditionally Independent Defaults. In: Credit Risk: Modeling, Valuation and Hedging. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04821-4_9
Download citation
DOI: https://doi.org/10.1007/978-3-662-04821-4_9
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-08707-3
Online ISBN: 978-3-662-04821-4
eBook Packages: Springer Book Archive