Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (Q2642592): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:56, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing credit default swap in a non-homogeneous semi-Markovian rating based model |
scientific article |
Statements
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (English)
0 references
17 August 2007
0 references
non-homogeneous semi-Markov processes
0 references
credit risk
0 references
stochastic recovery rate
0 references
default swap
0 references
reliability
0 references
