A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk (Q2815378): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/03610926.2012.665555 / rank | |||
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| Property / OpenAlex ID: W1992208125 / rank | |||
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| Property / cites work: VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL / rank | |||
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| Property / cites work: Credit risk: Modelling, valuation and hedging / rank | |||
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| Property / cites work: Study of Dependence for Some Stochastic Processes / rank | |||
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| Property / cites work: Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity / rank | |||
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Latest revision as of 05:32, 12 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk |
scientific article |
Statements
A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk (English)
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28 June 2016
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bilateral counterparty risk
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credit default swaps
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Markov chain
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Markov copulae approach
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unilateral counterparty risk
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