State dependent correlations in the Vasicek default model (Q830304)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | State dependent correlations in the Vasicek default model |
scientific article |
Statements
State dependent correlations in the Vasicek default model (English)
0 references
7 May 2021
0 references
one-factor Gaussian copula
0 references
Vasicek model
0 references
stochastic correlation
0 references
regulatory capital
0 references
0 references
