Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling

DOI10.1007/s00184-008-0213-4zbMath1433.91184MaRDI QIDQ745333

Jessica Cariboni, Wim Schoutens

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-008-0213-4

zbMATH Keywords

Ornstein-Uhlenbeck process; survival probability; credit risk; credit default swap; intensity-based model

Mathematics Subject Classification ID

91G40: Credit risk

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Cites Work

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