A multivariate default model with spread and event risk
Jan-Frederik Mai, Pablo Olivares, Steffen Schenk & Matthias Scherer
| Year of publication: |
2014
|
|---|---|
| Authors: | Mai, Jan-Frederik ; Olivares, Pablo ; Schenk, Steffen ; Scherer, Matthias |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 1/2, p. 51-83
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| Subject: | Multivariate default model | stochastic time-change | credit spread volatility | CDO pricing | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Derivat | Derivative | Kreditderivat | Credit derivative | Risikoprämie | Risk premium | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Unternehmensanleihe | Corporate bond | Insolvenz | Insolvency |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010351857