A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 19:30, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk |
scientific article |
Statements
A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (English)
0 references
8 August 2014
0 references
credit default swap
0 references
counterparty risk
0 references
common shock
0 references
multivariate regime-switching shot noise process
0 references
first-to-default basket swap
0 references
