Pricing and hedging of credit derivatives in a model with interacting default intensities: A Markovian approach. (Q3394435)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5600028
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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
0 references
portfolio credit risk
0 references
credit derivatives
0 references
credit events
0 references
Markov chain model
0 references
hedging
0 references
0.8837389349937439
0 references
0.8040627837181091
0 references
0.8023885488510132
0 references
0.8019479513168335
0 references
