Hi Josh
There are several places you can look: Firstly
Duffie http://www.stanford.edu/~duffie/ has several
papers, including
D. Duffie: 1998, First-to-Default Valuation
Secondly look at the documentation for CreditMetrics
on the RiskMetrics web site www.riskmetrics.com.
Hope this is useful.
Regards
Doug
------------------
Douglas Long
Principia Partners
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-----Original Message-----
From: Joshua Golden [mailto:[log in to unmask]]
Sent: 17 September 2000 12:51
To: [log in to unmask]
Subject: Credit derivative baskets
Hi,
Can anyone give me good references for modeling first-to-default credit
derivative baskets please?
Thanks very much in advance
Josh
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