Counterparty risk for credit default swap with states related default intensity processes (Q3225032)
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scientific article; zbMATH DE number 6014434
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| default for all languages | No label defined |
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| English | Counterparty risk for credit default swap with states related default intensity processes |
scientific article; zbMATH DE number 6014434 |
Statements
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES (English)
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13 March 2012
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credit default swap
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counterparty risk
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Markov modulated processes
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0.8919282555580139
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0.874210774898529
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0.8608350157737732
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0.84470134973526
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0.8429282903671265
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