Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (Q2642592)
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scientific article; zbMATH DE number 5179981
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| default for all languages | No label defined |
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| English | Valuing credit default swap in a non-homogeneous semi-Markovian rating based model |
scientific article; zbMATH DE number 5179981 |
Statements
Valuing credit default swap in a non-homogeneous semi-Markovian rating based model (English)
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17 August 2007
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non-homogeneous semi-Markov processes
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credit risk
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stochastic recovery rate
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default swap
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reliability
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0.805930495262146
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0.804663896560669
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0.8003883361816406
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0.7913092374801636
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0.7868454456329346
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