Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584): Difference between revisions

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Latest revision as of 13:48, 16 December 2024

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Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model
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    Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (English)
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    29 January 2013
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    credit default swaps
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    counterparty risk
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    credit valuation adjustment
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    interacting intensity
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    regime switching
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