Correlated default models driven by a multivariate regime-switching shot noise process (Q5234107)
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scientific article; zbMATH DE number 7110050
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Correlated default models driven by a multivariate regime-switching shot noise process |
scientific article; zbMATH DE number 7110050 |
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Correlated default models driven by a multivariate regime-switching shot noise process (English)
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25 September 2019
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credit default swap
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common shocks
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regime-switching shot noise process
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