Browsing by Author "R., Arvind Saran"

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    • Comparison of CDS prices for different valuation models and hazard rates 

      R., Arvind Saran; Kumar, Amit (Indian Institute of Management Ahmedabad, 2004)
      This paper provides a comparison between the CDS spreads estimated by Hull and white model and Equivalent Recovery model. The paper compares the models for different maturities, using different time-varying hazard rate ...