Liu Xiang-hua

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The pricing of CDS has become a hot issue after the U.S. subprime mortgage crisis erupted. For BDS with different reference assets, it is important to define the default correlation between the assets. Using copula functions to describe the dependent structure between the assets has some advantages and becomes popular recently. In the paper, we develop a(More)
This paper examines decisions of the creditor at corporate bankruptcy time. When the bankruptcy occurs, there are two possible situations. One situation is that the firm goes into liquidation procedure and the creditor receives the residual assets. The other situation is that the firm keeps on operation by debt reorganization. In the paper, we discuss two(More)
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