On a reduced form credit risk model with common shock and regime switching
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Publication:2447411
DOI10.1016/j.insmatheco.2012.07.010zbMath1285.91140OpenAlexW2016534288MaRDI QIDQ2447411
Publication date: 25 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.010
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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Uses Software
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