Structural credit risk modelling with Hawkes jump diffusion processes (Q269364)
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scientific article; zbMATH DE number 6570176
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| default for all languages | No label defined |
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| English | Structural credit risk modelling with Hawkes jump diffusion processes |
scientific article; zbMATH DE number 6570176 |
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Structural credit risk modelling with Hawkes jump diffusion processes (English)
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18 April 2016
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default clustering
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Hawkes process
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jump clustering
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default correlation
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0.8842549920082092
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0.8217493295669556
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0.8174389004707336
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0.8037697076797485
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0.7911451458930969
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