Credit risk modeling with affine processes

DOI10.1016/j.jbankfin.2005.02.006zbMath1418.91569OpenAlexW4211159534MaRDI QIDQ5226704

J. Darrell Duffie

Publication date: 1 August 2019

Published in: Journal of Banking & Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jbankfin.2005.02.006

zbMATH Keywords

credit riskdefault correlationaffine processesfirst to default

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (6)

Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Clustering Effects via Hawkes Processes ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Portfolio credit risk with predetermined default orders

This page was built for publication: Credit risk modeling with affine processes