A generalized contagion process with an application to credit risk
Angelos Dassios, Hongbiao Zhao
| Year of publication: |
February 2017
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|---|---|
| Authors: | Dassios, Angelos ; Zhao, Hongbiao |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 1, p. 1-33
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| Subject: | Credit risk | contagion risk | stochastic intensity model | jump process | point process | self-exciting process | Hawkes process | Cox process | CIR process | dynamic contagion process | dynamic contagion process with diffusion | Kreditrisiko | Stochastischer Prozess | Stochastic process | Theorie | Theory | Ansteckungseffekt | Contagion effect | Markov-Kette | Markov chain | Kreditderivat | Credit derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686792