Correlated default models driven by a multivariate regime-switching shot noise process

DOI10.1093/IMAMAN/DPX004OpenAlexW2890445601MaRDI QIDQ5234107

Yinghui Dong, Guo-jing Wang, Kam-Chuen Yuen

Publication date: 25 September 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpx004

zbMATH Keywords

credit default swapcommon shocksregime-switching shot noise process

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling ⋮ FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS

This page was built for publication: Correlated default models driven by a multivariate regime-switching shot noise process