A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361): Difference between revisions
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| Property / author | |||
| Property / author: Kam-Chuen Yuen / rank | |||
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| Property / author: Guo-jing Wang / rank | |||
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| Property / Mathematics Subject Classification ID: 60J28 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G40 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G46 / rank | |||
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| Property / zbMATH DE Number: 6590031 / rank | |||
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| Property / zbMATH Keywords | |||
credit default swaps | |||
| Property / zbMATH Keywords: credit default swaps / rank | |||
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contagion model | |||
| Property / zbMATH Keywords: contagion model / rank | |||
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continuous-time Markov chain | |||
| Property / zbMATH Keywords: continuous-time Markov chain / rank | |||
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common shocks | |||
| Property / zbMATH Keywords: common shocks / rank | |||
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regime-switching | |||
| Property / zbMATH Keywords: regime-switching / rank | |||
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shot noise intensities | |||
| Property / zbMATH Keywords: shot noise intensities / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1007/s11009-014-9431-6 / rank | |||
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| Property / OpenAlex ID: W2038428139 / 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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