Credit risk modeling with affine processes

DOI10.1016/J.JBANKFIN.2005.02.006MaRDI QIDQ5226704zbMATH OpenOpenAlexFDO

Authors Darrell Duffie

Publication date 1 August 2019

Published in Journal of Banking & Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jbankfin.2005.02.006

zbMATH Keywords

affine processescredit riskdefault correlationfirst to default

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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