A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk
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Publication:2815378
DOI10.1080/03610926.2012.665555OpenAlexW1992208125MaRDI QIDQ2815378
Publication date: 28 June 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.665555
Markov chainbilateral counterparty riskcredit default swapsMarkov copulae approachunilateral counterparty risk
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