A reduced-form model for correlated defaults with regime-switching shot noise intensities
DOI10.1007/s11009-014-9431-6zbMath1343.60117OpenAlexW2038428139MaRDI QIDQ292361
Yinghui Dong, Chongfeng Wu, Guo-jing Wang, Kam-Chuen Yuen
Publication date: 8 June 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-014-9431-6
continuous-time Markov chainregime-switchingcommon shockscontagion modelcredit default swapsshot noise intensities
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Martingales and classical analysis (60G46) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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