Proxying credit curves via Wasserstein distances (Q6549633)
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scientific article; zbMATH DE number 7859376
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| English | Proxying credit curves via Wasserstein distances |
scientific article; zbMATH DE number 7859376 |
Statements
Proxying credit curves via Wasserstein distances (English)
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4 June 2024
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credit default swap
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harmonic mean
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hazard rate
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proxy credit curve
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Wasserstein barycenter
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Wasserstein distance
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0.6997087597846985
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0.6881759762763977
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0.6839598417282104
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0.680724561214447
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0.6794118881225586
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