A Markov modulated dynamic contagion process with application to credit risk (Q2000733)
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scientific article; zbMATH DE number 7075082
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Markov modulated dynamic contagion process with application to credit risk |
scientific article; zbMATH DE number 7075082 |
Statements
A Markov modulated dynamic contagion process with application to credit risk (English)
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28 June 2019
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contagion process
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affine jump diffusion process
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credit risk
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regime-switching
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0.8816394209861755
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0.8807954788208008
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0.8692345023155212
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0.8349480628967285
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0.7878180146217346
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