A Structural Jump Threshold Framework for Credit Risk (Q2819097)

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A Structural Jump Threshold Framework for Credit Risk
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    title
    A Structural Jump Threshold Framework for Credit Risk (English)
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    DOI
    10.1137/140993892
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    author
    Pierre Garreau
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    Alec Norton
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    publication date
    28 September 2016
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    Mathematics Subject Classification ID
    91G40
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    60G51
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    60J75
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    91G20
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    zbMATH DE Number
    6630542
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    zbMATH Keywords
    Lévy processes
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    Lévy copula
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    credit risk
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    structural models
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    reduced form models
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    OpenAlex ID
    W2519378537
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