A set-valued Markov chain approach to credit default
Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou
| Year of publication: |
2020
|
|---|---|
| Authors: | Chen, Dianfa ; Deng, Jun ; Feng, Jianfen ; Zou, Bin |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 4, p. 669-689
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| Subject: | Collateral default obligation (CDO) | Credit risk | Jump diffusion | Markov chain | Tranche spread | Kreditrisiko | Markov-Kette | Kreditsicherung | Collateral | Kreditderivat | Credit derivative | Theorie | Theory | Derivat | Derivative | Insolvenz | Insolvency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1693053 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194914