Credit Contagion in a Long Range Dependent Macroeconomic Factor Model (Q5198557)
From MaRDI portal
scientific article; zbMATH DE number 5936945
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit Contagion in a Long Range Dependent Macroeconomic Factor Model |
scientific article; zbMATH DE number 5936945 |
Statements
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model (English)
0 references
8 August 2011
0 references
credit risk
0 references
contagion modeling
0 references
credit intensity
0 references
latent process
0 references
macroeconomic variables process
0 references
long-range dependence
0 references
fractional Brownian motion
0 references
pricing defaultable derivatives
0 references
