A fractional credit model with long range dependent default rate (Q1939342): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q254502 |
Changed an Item |
||
| Property / author | |||
| Property / author: Claudia Klüppelberg / rank | |||
Normal rank | |||
Revision as of 06:34, 12 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fractional credit model with long range dependent default rate |
scientific article |
Statements
A fractional credit model with long range dependent default rate (English)
0 references
4 March 2013
0 references
credit risk
0 references
defaultable bond
0 references
default rate
0 references
derivatives pricing
0 references
fractional Brownian motion
0 references
fractional Vasicek model
0 references
hazard rate
0 references
interest rate
0 references
long-range dependence
0 references
macroeconomic variables process
0 references
option pricing
0 references
prediction
0 references
short rate
0 references
Wick product
0 references
