A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES
DOI10.12941/jksiam.2015.19.023zbMath1322.91059MaRDI QIDQ3192914
Siti Norafidah Mohd Ramli, Ji-Wook Jang
Publication date: 14 October 2015
Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.12941/jksiam.2015.19.023
copulas; counterparty risk; CDS rate; joint survival/default probability; multivariate Cox process; multivariate jump diffusion process
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
60G10: Stationary stochastic processes
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
91G40: Credit risk
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