Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit derivatives under a correlated regime-switching hazard processes model |
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Pricing credit derivatives under a correlated regime-switching hazard processes model (English)
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22 May 2017
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hazard process
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Markov chain
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\(k\)th-to-default basket swap
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multivariate regime-switching shot noise process
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