A collateralized loan's loss under a quadratic Gaussian default intensity process (Q5400664)
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scientific article; zbMATH DE number 6265444
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A collateralized loan's loss under a quadratic Gaussian default intensity process |
scientific article; zbMATH DE number 6265444 |
Statements
A collateralized loan’s loss under a quadratic Gaussian default intensity process (English)
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4 March 2014
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credit risk
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stochastic processes
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Gaussian processes
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correlation structures
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continuous-time models
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debt valuation
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0.6768120527267456
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0.6719911694526672
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0.6675780415534973
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0.6674996614456177
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0.6672449707984924
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