A multivariate default model with spread and event risk (Q4585901)
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scientific article; zbMATH DE number 6934622
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A multivariate default model with spread and event risk |
scientific article; zbMATH DE number 6934622 |
Statements
A Multivariate Default Model with Spread and Event Risk (English)
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11 September 2018
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multivariate default model
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stochastic time-change
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credit spread volatility
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CDO pricing
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0.8017676472663879
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0.7988559007644653
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0.7973081469535828
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0.7925035357475281
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0.7897889614105225
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