A Markov copula model with regime switching and its application (Q272813)
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scientific article; zbMATH DE number 6571431
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Markov copula model with regime switching and its application |
scientific article; zbMATH DE number 6571431 |
Statements
A Markov copula model with regime switching and its application (English)
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21 April 2016
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Markov copula model
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Markov process
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regime switching
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credit default swap
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bilateral counterparty risk
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0.8494828939437866
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0.8019443154335022
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0.7987763285636902
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0.7924690842628479
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