Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065)
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| Language | Label | Description | Also known as |
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| English | Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching |
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Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (English)
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21 June 2018
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intensity-based model
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regime switching
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Markov chain
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credit default swaps
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bilateral counterparty risk
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