Risk analysis of collateralized CDS under Markov copula model with regime switching and shot noise

zbMATH Open1399.91130MaRDI QIDQ4574504FDOQ4574504

Authors:

Publication date: 18 July 2018

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zbMATH Keywords

Markov copula modelcounterparty riskdefault dependencecollateralizationshot noise

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40) Martingales with continuous parameter (60G44)

Cited In (2)

• A Markov copula model with regime switching and its application
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model

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