A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' (Q2195929)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' |
scientific article |
Statements
A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' (English)
0 references
28 August 2020
0 references
default clustering
0 references
Hawkes process
0 references
jump clustering
0 references
default correlation
0 references
