A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES (Q3192914): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES |
scientific article |
Statements
A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES (English)
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14 October 2015
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multivariate jump diffusion process
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multivariate Cox process
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joint survival/default probability
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copulas
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counterparty risk
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CDS rate
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