A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114)
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scientific article; zbMATH DE number 6947214
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| English | A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes |
scientific article; zbMATH DE number 6947214 |
Statements
A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (English)
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4 October 2018
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contagion
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credit default swap (CDS)
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regime-switching
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default intensity
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Vasicek model
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0.918287992477417
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0.8879234194755554
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0.8381185531616211
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0.8341279625892639
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