CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
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Publication:5422627
DOI10.1111/j.1467-9965.2007.00298.xzbMath1186.91237OpenAlexW3123258340MaRDI QIDQ5422627
Publication date: 29 October 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00298.x
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20)
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