A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318): Difference between revisions

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Latest revision as of 14:05, 13 July 2024

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A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
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    A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (English)
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    30 March 2017
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    credit risk
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    contagion risk
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    stochastic intensity model
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    jump process
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    point process
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    self-exciting process
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    Hawkes process
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    Cox process
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    CIR process
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    dynamic contagion process
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    dynamic contagion process with diffusion
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