Pricing bonds and CDS in the model with rating migration induced by a Cox process (Q3534752)
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scientific article; zbMATH DE number 5361730
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| English | Pricing bonds and CDS in the model with rating migration induced by a Cox process |
scientific article; zbMATH DE number 5361730 |
Statements
4 November 2008
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credit risk
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rating migration
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defaultable bonds
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credit default swap
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Cox processes
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conditional Markov chains
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0.8081172704696655
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0.7893334627151489
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0.7881563901901245
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0.7850531935691833
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