Pricing CDS index tranches under thinning-dependence structure with regime switching (Q6582033)
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scientific article; zbMATH DE number 7890911
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| English | Pricing CDS index tranches under thinning-dependence structure with regime switching |
scientific article; zbMATH DE number 7890911 |
Statements
Pricing CDS index tranches under thinning-dependence structure with regime switching (English)
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1 August 2024
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default time
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copula
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regime switching
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CDS index
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CDS index tranches
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0.7871077060699463
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0.7824033498764038
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0.7455155253410339
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0.745499312877655
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0.7421409487724304
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