The real estate credit risk based on the value model with jump and stochastic interests

zbMATH Open1193.91162MaRDI QIDQ3577374FDOQ3577374

Authors: Shaojun Wang, Peibiao Zhao, Xiao-Ping Yang 

Publication date: 22 July 2010

Full work available at URL: http://www.m-hikari.com/ams/ams-2010/ams-17-20-2010/index.html

Recommendations

• Credit risk valuation model for real estate non-recourse loan
• A structural credit risk model with stochastic volatility and jumps
• scientific article; zbMATH DE number 7699471
• Modeling of commercial real estate credit risks
• Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance

zbMATH Keywords

regression analysisvolatilitydefault probabilityasset model with jump

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cited In (5)

• A model for pricing real estate derivatives with stochastic interest rates
• Modeling of commercial real estate credit risks
• Credit risk valuation model for real estate non-recourse loan
• Pricing real estate index options under stochastic interest rates
• Title not available (Why is that?)

This page was built for publication: The real estate credit risk based on the value model with jump and stochastic interests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3577374)