Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (Q2642592)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing credit default swap in a non-homogeneous semi-Markovian rating based model |
scientific article |
Statements
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (English)
0 references
17 August 2007
0 references
non-homogeneous semi-Markov processes
0 references
credit risk
0 references
stochastic recovery rate
0 references
default swap
0 references
reliability
0 references
