On a reduced form credit risk model with common shock and regime switching (Q2447411): Difference between revisions
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Revision as of 10:55, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a reduced form credit risk model with common shock and regime switching |
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On a reduced form credit risk model with common shock and regime switching (English)
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25 April 2014
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common shock
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Markov chain
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Cox process
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regime switching
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correlated defaults
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basket default swaps
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