Valuation of credit default swap application of the Jarrow- Turnbull model on a private debt bond in Colombia

The study presents the empirical application in reduced form of a model for the estimation of default probabilities, which offers benefits compared to other models because it can be used not only for the calculation of the probability of non-compliance but also for the valuation of the derivative of...

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Detalles Bibliográficos
Autor Principal: Pinto Suárez, Carlos Javier
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Universidad Santo Tomás seccional Bucaramanga 2018