LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES (Q5061487)
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scientific article; zbMATH DE number 7488280
Language | Label | Description | Also known as |
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English | LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES |
scientific article; zbMATH DE number 7488280 |
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LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES (English)
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11 March 2022
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defaultable claims
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credit risk
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FS decomposition
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local risk minimization
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running infimum process
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structural models
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reduced form models
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hazard rate
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