Calibration of the default probability model
From MaRDI portal
Publication:2464231
DOI10.1016/j.ejor.2004.11.029zbMath1163.91436MaRDI QIDQ2464231
Publication date: 10 December 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2004.11.029
91B70: Stochastic models in economics
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Default probability estimation via pair copula constructions, Enhancing credit default swap valuation with meshfree methods, Analytical methods for hedging systematic credit risk with linear factor portfolios
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