A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk (Q2815378): Difference between revisions

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+https://doi.org/10.1080/03610926.2012.665555
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+W1992208125
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@@ Property / cites work @@
+VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
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+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
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+Study of Dependence for Some Stochastic Processes
@@ Property / cites work: Study of Dependence for Some Stochastic Processes / rank @@
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+Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
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+Publication:2815378