DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (Q4635039): Difference between revisions
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Revision as of 00:30, 20 March 2024
scientific article; zbMATH DE number 6859723
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM |
scientific article; zbMATH DE number 6859723 |
Statements
DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM (English)
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13 April 2018
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credit risk
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HJM
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forward rate
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structural approach
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reduced-form approach
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Azéma supermartingale
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affine processes
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filtering
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