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Zhongxing Ye

1 paper here

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  • q-fin.RM1

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1 paper

q-fin.RM2007

A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS

Yunfen Bai, Xinhua Hu, Zhongxing Ye

In this paper, a geometric function is introduced to reflect the attenuation speed of impact of one firm's default to its partner. If two firms are competitions (copartners), the d…

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