Interbank credit risk modeling with self-exciting jump processes
Year of publication: |
2020
|
---|---|
Authors: | Leunga, Charles Guy Njike ; Hainaut, Donatien |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 6, p. 1-32
|
Subject: | Interest rates | multiple curves | self-exciting process | simple forward Libor rate | Theorie | Theory | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Geldmarkt | Money market | Zins | Interest rate | Stochastischer Prozess | Stochastic process |
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