A fractional credit model with long range dependent default rate (Q1939342)
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scientific article; zbMATH DE number 6140881
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A fractional credit model with long range dependent default rate |
scientific article; zbMATH DE number 6140881 |
Statements
A fractional credit model with long range dependent default rate (English)
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4 March 2013
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credit risk
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defaultable bond
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default rate
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derivatives pricing
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fractional Brownian motion
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fractional Vasicek model
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hazard rate
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interest rate
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long-range dependence
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macroeconomic variables process
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option pricing
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prediction
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short rate
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Wick product
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0.8373882174491882
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0.8139473795890808
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0.7853715419769287
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0.7739165425300598
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0.7699736952781677
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