A reduced model with thinning-dependence structure (Q2860078)
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scientific article; zbMATH DE number 6230454
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A reduced model with thinning-dependence structure |
scientific article; zbMATH DE number 6230454 |
Statements
19 November 2013
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reduced form model
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default correlation
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thinning-dependence structure
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credit default swaps
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counterparty risk
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swap premium rate
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A reduced model with thinning-dependence structure (English)
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0.8222213983535767
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0.8185840845108032
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0.8166805505752563
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0.7980392575263977
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