Network model for joined default probabilities

DOI10.37070/AML.2020.37.1.02MaRDI QIDQ4968968zbMATH OpenOpenAlexFDO

Authors Zsolt Bihary, L. Péter Simon, Noémi Nagy

Publication date 2 October 2020

Published in Alkalmazott Matematikai Lapok (Search for Journal in Brave)

Full work available at URL https://doi.org/10.37070/aml.2020.37.1.02

zbMATH Keywords

basket default swap (BDS)credit default swap (CDS)credit derivativesnetwork modelingsystemic risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cited in

(1)

• Credit risk in a network economy

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