A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk (Q2815378): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Credit risk: Modelling, valuation and hedging / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Study of Dependence for Some Stochastic Processes / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity / rank | |||
Normal rank | |||
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)
0 references
28 June 2016
0 references
bilateral counterparty risk
0 references
credit default swaps
0 references
Markov chain
0 references
Markov copulae approach
0 references
unilateral counterparty risk
0 references
