Nonexistence of Markovian time dynamics for graphical models of correlated default
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Publication:415636
DOI10.1007/s11134-011-9261-yzbMath1239.91175arXiv1008.2226OpenAlexW2234391669MaRDI QIDQ415636
Alexandru Hening, Steven N. Evans
Publication date: 8 May 2012
Published in: Queueing Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.2226
Ising modelcredit riskreduced-form modelstructural modelcollateralized debt obligationcorrelated defaulttime-homogeneous Markovian chain
Statistical methods; risk measures (91G70) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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