A Markov copula model with regime switching and its application

DOI10.1007/s10255-016-0542-4zbMath1342.60127OpenAlexW2340820649MaRDI QIDQ272813

Xue Liang

Publication date: 21 April 2016

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0542-4

zbMATH Keywords

regime switchingMarkov processbilateral counterparty riskcredit default swapMarkov copula model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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