Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699): Difference between revisions

@@ Property / author @@
+Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2013.11.001
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@@ Property / OpenAlex ID @@
+W2088503754
@@ Property / OpenAlex ID: W2088503754 / rank @@
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@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+A General Formula for Valuing Defaultable Securities
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@@ Property / cites work @@
+New finite-dimensional filters and smoothers for noisily observed Markov chains
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@@ Property / cites work @@
+Robust optimal portfolio choice under Markovian regime-switching model
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@@ Property / cites work @@
+The multivariate hazard construction
@@ Property / cites work: The multivariate hazard construction / rank @@
+Normal rank
@@ Property / cites work @@
+A Markov regime-switching marked point process for short-rate analysis with credit risk
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@@ Property / cites work @@
+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
+Normal rank