Dynamic credit models

DOI10.4310/SII.2008.v1.n2.a1zbMath1230.91182OpenAlexW2012892823MaRDI QIDQ660051

Ioana Savescu, Stewart Inglis, Artur Sepp, Alexander Lipton-Lifschitz

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2008.v1.n2.a1

zbMATH Keywords

dynamic credit correlationfactor correlation modeljump-to-default

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)