A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361)
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scientific article; zbMATH DE number 6590031
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| English | A reduced-form model for correlated defaults with regime-switching shot noise intensities |
scientific article; zbMATH DE number 6590031 |
Statements
A reduced-form model for correlated defaults with regime-switching shot noise intensities (English)
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8 June 2016
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credit default swaps
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contagion model
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continuous-time Markov chain
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common shocks
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regime-switching
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shot noise intensities
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0.9177848100662231
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0.8879234194755554
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0.8400384187698364
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0.8282175064086914
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