RATING BASED LÉVY LIBOR MODEL (Q2851557): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 08:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RATING BASED LÉVY LIBOR MODEL |
scientific article |
Statements
RATING BASED LÉVY LIBOR MODEL (English)
0 references
11 October 2013
0 references
credit risk
0 references
ratings
0 references
time-inhomogeneous Lévy process
0 references
Libor
0 references
conditional Markov chain
0 references
