Pricing and hedging of credit derivatives in a model with interacting default intensities: A Markovian approach. (Q3394435)
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scientific article; zbMATH DE number 5600028
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| English | Pricing and hedging of credit derivatives in a model with interacting default intensities: A Markovian approach. |
scientific article; zbMATH DE number 5600028 |
Statements
31 August 2009
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portfolio credit risk
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credit derivatives
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credit events
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Markov chain model
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hedging
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0.8837389349937439
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0.8040627837181091
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0.8023885488510132
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0.8019479513168335
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