A regime switching model for the term structure of credit risk spreads
Seungmook Choi; Michael D. Marcozzi
| Year of publication: |
2015
|
|---|---|
| Authors: | Choi, Seung-mook S. ; Marcozzi, Michael D. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 1, p. 49-57
|
| Subject: | Optimal Stopping | Failure Rate | Regime Switching | Credit Risk Spreads | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Theorie | Theory | Markov-Kette | Markov chain | Risikoprämie | Risk premium |
| 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://www.econbiz.de/10011398608