{"entities":{"Q2064595":{"pageid":2075337,"ns":120,"title":"Item:Q2064595","lastrevid":57674028,"modified":"2026-03-31T21:09:11Z","type":"item","id":"Q2064595","labels":{"en":{"language":"en","value":"A revised version of the Cathcart \\& El-Jahel model and its application to CDS market"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 7452713"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$C370E903-C87D-4DC5-8866-C82DAC124B6B","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"bf937579e4e8a8509080f5e5c09072844e747c3d","datavalue":{"value":{"text":"A revised version of the Cathcart \\& El-Jahel model and its application to CDS market","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2064595$BC5E2576-3A15-4AD4-BC75-DFDADBC94AD9","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"4c89d118639f61b2f4c8d699666ba5436ae456c7","datavalue":{"value":"1483.91241","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2064595$2F60F67A-09F9-44EA-A5D8-DBB32FCB260F","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"783023390396acd567c1c025d59cf62d4a410b5d","datavalue":{"value":{"entity-type":"item","numeric-id":340466,"id":"Q340466"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$48F95313-915C-4753-8D95-0B3E774168E3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"daed34b54a3a6933a621ace6d8729c4898c6771d","datavalue":{"value":{"entity-type":"item","numeric-id":2064593,"id":"Q2064593"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$F1614BF9-7DAB-41B8-A001-CFCC049BAC09","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"6d3f8627219b31ef2b588c6600b1882cc6a66bee","datavalue":{"value":{"entity-type":"item","numeric-id":1722762,"id":"Q1722762"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$DA66AD40-9539-4AD2-A02C-3D774AB0F2C8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"5e386bfa26f2ba393b2e439148f6a02a52e595f5","datavalue":{"value":{"entity-type":"item","numeric-id":2064594,"id":"Q2064594"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$1B394B22-7544-4505-B7B4-5E514D618801","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"775294cff3561b933cea5bdb7d090f498a09037c","datavalue":{"value":{"entity-type":"item","numeric-id":206421,"id":"Q206421"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$55E97EDE-6D8E-41FE-9240-B9814ACF110B","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"b5eeef85fccb3b9ec0f1e08769d6215b8e0218bd","datavalue":{"value":{"time":"+2022-01-06T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2064595$3879C889-53E6-454F-89EA-04CD023BA3E2","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"722226ddfdf02bf871e9970277644cce37295993","datavalue":{"value":"The authors are concerned with the pricing of credit default swaps. In previous research, a hybrid model of \\textit{L. Cathcart} and \\textit{L. El-Jahel} [Quant. Finance 6, No. 3, 243--253 (2006; Zbl 1136.91474)] has been proposed. In this paper, the intensity of the default follows from a Va\u0161\u00ed\u010dek model rather than the CIR interest rate model. This allows for the inclusion of negative interest rates. Also, this approach permits for more efficient use of computer time for calculating prices. This credit model should be of interest to academics and practitioners alike.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2064595$BEA3CCB1-264B-4C1A-A18E-C5B20199A508","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"c885d6a6e015cbd7d64b981999e8c033570d2c5a","datavalue":{"value":{"entity-type":"item","numeric-id":730540,"id":"Q730540"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$4D129CC1-C495-47AE-A6BD-E6D33F9817E4","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2064595$33E26977-EF49-4DA7-A239-356322C75420","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"23a0300312e4895eb419bd6ce7bc42505dc963fd","datavalue":{"value":"91G40","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2064595$A7C10C8E-4245-4712-8B5B-8B5C97B2EBC6","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"703f57a56a500e9bb3d3e73ab3a5dbbe389794b5","datavalue":{"value":"7452713","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2064595$E66F9D1B-2512-4709-AB23-AEDDA2234703","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"908ced9a9ca748e0c28cab9ac568e85861c1b111","datavalue":{"value":"credit risk","type":"string"},"datatype":"string"},"type":"statement","id":"Q2064595$BA4C3A25-ABFE-4469-925D-6AB45976C365","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"06065b0dd7de6f850299d355099c2787f723ec6a","datavalue":{"value":"hybrid models","type":"string"},"datatype":"string"},"type":"statement","id":"Q2064595$7B29A046-9D83-403F-9200-A450C1047809","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"903a1cc6c15dedb6822a91f7b552e7351a386a74","datavalue":{"value":"credit default swaps","type":"string"},"datatype":"string"},"type":"statement","id":"Q2064595$7F2D500E-B288-4199-A26E-ACB0369ED37C","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$B37EB63E-4159-4FDA-A564-4F463412953A","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"463ac37962f1bf01d7bdda1389158e2bcbbb1363","datavalue":{"value":"https://doi.org/10.1007/s10203-021-00350-x","type":"string"},"datatype":"url"},"type":"statement","id":"Q2064595$1777AA0E-EC5B-41EC-B889-8AE7A344EEC1","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"21ed4dec48485bf8f066db5e8bb7e10793892d35","datavalue":{"value":"W3188391963","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2064595$7C53B4C6-7F27-41B7-8404-42E9FD77A6A6","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"0ac875104613c34a409d9c053d170a54dc859e27","datavalue":{"value":{"entity-type":"item","numeric-id":1620012,"id":"Q1620012"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$DEB307ED-9DF4-4206-9CF3-9359C33C9BB0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7ef857efc06f0ffc13af8ccdfa51e284a79797e4","datavalue":{"value":{"entity-type":"item","numeric-id":4555081,"id":"Q4555081"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$5CBD3AF4-15AD-478C-A482-1591818AECE3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"330fea3d93cd1272c2e30f3c96266db0b9467c87","datavalue":{"value":{"entity-type":"item","numeric-id":5358705,"id":"Q5358705"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$9CCA2745-C456-486C-AFC3-D03980DEAFA6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"10cb6e2d0e498a050a2a0ccd22a7a8a1d7ef73dd","datavalue":{"value":{"entity-type":"item","numeric-id":5484649,"id":"Q5484649"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$26F423DB-DB5F-4828-BA81-11649F0D18EB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"efc4b63cebf0765738bb7c4c87a82180c9d30d10","datavalue":{"value":{"entity-type":"item","numeric-id":2856469,"id":"Q2856469"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$CCA3D83F-E75E-4F31-BECE-FDA0EA934B55","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e242596a967d08697b487c1e1a73b7eaf2966687","datavalue":{"value":{"entity-type":"item","numeric-id":3116139,"id":"Q3116139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$191A8BEF-0006-4F53-B6FF-2EA1E633A18C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a9b8e60ca77ff778fee52e60d140c03b861ed41d","datavalue":{"value":{"entity-type":"item","numeric-id":4531013,"id":"Q4531013"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$D17120A3-C666-4FD8-A715-E0EF28C70649","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fdd4b23d32a2b471e8f37c304710cd9955bac8e6","datavalue":{"value":{"entity-type":"item","numeric-id":2445353,"id":"Q2445353"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$5AA0D1DC-3C8A-4283-A0E1-44AB846090EC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"da8688ded53ac749af9745c2f7e1a19c55a6a24b","datavalue":{"value":{"entity-type":"item","numeric-id":2349596,"id":"Q2349596"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$8D8F55A0-DD28-419C-8B77-619F8DB35D5C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"dd7f640da8365211773d9cd566e8b302fab564be","datavalue":{"value":{"entity-type":"item","numeric-id":4086524,"id":"Q4086524"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$45E73DDF-755C-4BA8-B7FF-73C0FF882405","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"01a48bf1027afa2e854d8e968ca76e55e49fa64f","datavalue":{"value":{"entity-type":"item","numeric-id":959675,"id":"Q959675"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$8552A6AF-A083-490C-A5ED-0541A5490133","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"09f8efa0e702a7f9bb6281df9a31ab12a6c07d25","datavalue":{"value":{"entity-type":"item","numeric-id":2447508,"id":"Q2447508"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$2204AC9F-A91E-4CB0-BD98-6F2D78684BC7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"80df6ed408de34ab085a68a250aaee632df86f7f","datavalue":{"value":{"entity-type":"item","numeric-id":1029236,"id":"Q1029236"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$D8FA45F0-15A6-4599-8DF8-E7AE678BBDA5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f19e7d8ed336b1190dc10b252571bac465318e69","datavalue":{"value":{"entity-type":"item","numeric-id":2445987,"id":"Q2445987"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$4A679D4A-D72D-4257-804A-B0FD4183640E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ec6f03104fe5943814451ac1ba78d3fb0e28aa26","datavalue":{"value":{"entity-type":"item","numeric-id":3910361,"id":"Q3910361"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$AD043196-2EDF-4C21-B5FF-59F0C283C930","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a95618380fc8608f1f9770d95d67c29af2f2db34","datavalue":{"value":{"entity-type":"item","numeric-id":375362,"id":"Q375362"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$5C5C8BB1-A106-4E88-B303-1F152EDE74C6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"366eb378d8fa5ef90b3931e379383ae16ac5bddd","datavalue":{"value":{"entity-type":"item","numeric-id":375364,"id":"Q375364"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$9155109E-00D6-4966-BBB7-21AAE6C9DC94","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ce6d1667136c68874e49cfea594d6d612030303e","datavalue":{"value":{"entity-type":"item","numeric-id":3151170,"id":"Q3151170"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$4EB5C32E-B0CD-442B-9BBF-43D23D13021B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ce11304921a8c7655bf25f4078a20a0b3aa469af","datavalue":{"value":{"entity-type":"item","numeric-id":3184722,"id":"Q3184722"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$D781C5BD-D7B4-4F38-915A-ED7D42150DC2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f8851fe9a8b74a22f13014c60a93a01c4d96c785","datavalue":{"value":{"entity-type":"item","numeric-id":2897328,"id":"Q2897328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$F2768844-9ED6-440F-9B2C-4EF3B9158039","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0cbb65187a5d6a2f9aa0238ba5e361b71d2a2f62","datavalue":{"value":{"entity-type":"item","numeric-id":5363838,"id":"Q5363838"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$0EDED641-4CB4-4E57-90C3-5AF275AD971E","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"40b8dbc57c48dc87c972b7aded10fd9ad224896a","datavalue":{"value":"10.1007/S10203-021-00350-X","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2064595$3050499C-7932-4BF2-A8AA-5705DCA641D7","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a54545fcdf4b0e8d33edc5324d62b0a2b114a815","datavalue":{"value":{"entity-type":"item","numeric-id":5031741,"id":"Q5031741"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"de235789eb0a630bb96a396a62986427f5d732eb","datavalue":{"value":{"amount":"+0.784904420375824","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2064595$C6D86563-9B37-4724-BEFD-DB99419322AC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"318a55a0b6b910c1effc4da4be1423e1d36b493b","datavalue":{"value":{"entity-type":"item","numeric-id":5498154,"id":"Q5498154"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8f980ba07d862e7100756240503f7bafbacc5ace","datavalue":{"value":{"amount":"+0.7647932767868042","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2064595$AEA20430-4BC0-498D-A605-86EDC797DD4B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2a27528029fe94acbc1645added310b06278d3e1","datavalue":{"value":{"entity-type":"item","numeric-id":621671,"id":"Q621671"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6080926ea10d6bd2fc2c0b03e7ad95cb4e692be2","datavalue":{"value":{"amount":"+0.7647475600242615","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2064595$4BE3C053-1A45-48E5-9E06-DAF9CBFCA561","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a6aa7e16bc33c250c45b7eaa0c865089b976125a","datavalue":{"value":{"entity-type":"item","numeric-id":2866385,"id":"Q2866385"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8d8ca622a2f20a27c37e99ddc013f8dbde977fe5","datavalue":{"value":{"amount":"+0.7609723806381226","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2064595$F2ABBF16-08EE-4188-AFC1-601671C1783E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"697857fc9681123513e1197343351b88153ffbfa","datavalue":{"value":{"entity-type":"item","numeric-id":1644065,"id":"Q1644065"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e60a1f65f52b6ba808b1631b22a6aaf07418aab5","datavalue":{"value":{"amount":"+0.7592097520828247","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2064595$6F706A6E-3CBE-4A11-A570-A25C2484F592","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2064595$14137BAF-252C-465F-A2B6-ACCF4119762C","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2064595","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2064595"}}}}}