Credit Risk Models with Incomplete Information
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Publication:3169037
DOI10.1287/moor.1080.0361zbMath1213.91157OpenAlexW2140878266MaRDI QIDQ3169037
Xin Guo, Yan Zeng, Robert A. Jarrow
Publication date: 27 April 2011
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.1080.0361
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)
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