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Multi-Name Credit Derivatives

By Kristen Campbell, Yun Chen, David A. Edwards, Yanyan Li, Sean O’Connell, Ryshon Patterson, Gilberto Schleiniger, Jodi Schneider, Fabricio Tourrucoo, Gehua Yang and Juan-Ming Yuan


The problem addressed in this report is that of pricing multi-name credit derivatives. These are default guarantee contracts on a basket of “names” whose default rates are correlated

Topics: Finance
Year: 2001
OAI identifier: oai:generic.eprints.org:254/core70

Suggested articles



  1. (1998). Stochastic Differential Equations: An Introduction with Applications, 5th ed.
  2. (1995). The Mathematics of Financial Derivatives: A Student Introduction. New York:

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