A fractional credit model with long range dependent default rate (Q1939342)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fractional credit model with long range dependent default rate |
scientific article |
Statements
A fractional credit model with long range dependent default rate (English)
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4 March 2013
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credit risk
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defaultable bond
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default rate
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derivatives pricing
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fractional Brownian motion
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fractional Vasicek model
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hazard rate
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interest rate
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long-range dependence
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macroeconomic variables process
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option pricing
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prediction
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short rate
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Wick product
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