On a reduced form credit risk model with common shock and regime switching (Q2447411)
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scientific article; zbMATH DE number 6288457
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| English | On a reduced form credit risk model with common shock and regime switching |
scientific article; zbMATH DE number 6288457 |
Statements
On a reduced form credit risk model with common shock and regime switching (English)
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25 April 2014
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common shock
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Markov chain
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Cox process
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regime switching
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correlated defaults
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basket default swaps
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0.841376543045044
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0.8282175064086914
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0.822670042514801
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0.8166805505752563
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