Risk analysis of collateralized CDS under Markov copula model with regime switching and shot noise (Q4574504)
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scientific article; zbMATH DE number 6906923
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| English | Risk analysis of collateralized CDS under Markov copula model with regime switching and shot noise |
scientific article; zbMATH DE number 6906923 |
Statements
18 July 2018
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collateralization
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default dependence
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shot noise
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counterparty risk
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Markov copula model
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0.8509379625320435
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0.8137452006340027
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0.8130841851234436
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0.8076876997947693
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0.7987763285636902
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