A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361): Difference between revisions
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| Property / author: Kam-Chuen Yuen / rank | |||
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| Property / author: Guo-jing Wang / rank | |||
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| Property / author: Guo-jing Wang / rank | |||
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Revision as of 22:01, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A reduced-form model for correlated defaults with regime-switching shot noise intensities |
scientific article |
Statements
A reduced-form model for correlated defaults with regime-switching shot noise intensities (English)
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8 June 2016
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credit default swaps
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contagion model
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continuous-time Markov chain
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common shocks
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regime-switching
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shot noise intensities
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