Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:07, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling |
scientific article |
Statements
Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (English)
0 references
14 October 2015
0 references
Ornstein-Uhlenbeck process
0 references
credit risk
0 references
survival probability
0 references
intensity-based model
0 references
credit default swap
0 references