A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS (Q5420697): Difference between revisions
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Revision as of 20:48, 5 March 2024
scientific article; zbMATH DE number 6304157
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS |
scientific article; zbMATH DE number 6304157 |
Statements
A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS (English)
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13 June 2014
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credit default swaps
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credit risk
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risk management
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return autocorrelation
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heavy tails
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model fitting
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