Affine modeling of credit risk, pricing of credit events, and contagion
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne, Guillaume Roussellet
| Year of publication: |
2021
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|---|---|
| Authors: | Monfort, Alain ; Pegoraro, Fulvio ; Renne, Jean-Paul ; Roussellet, Guillaume |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 6, p. 3674-3693
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| Subject: | affine credit risk model | gamma-zero distribution | no-jump condition | contagion | credit-event risk | sovereign credit risk and exchange rates | Kreditrisiko | Credit risk | Theorie | Theory | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Länderrisiko | Country risk | Wechselkurs | Exchange rate | Ansteckungseffekt | Contagion effect | Währungsrisiko | Exchange rate risk | Finanzkrise | Financial crisis | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3658 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012606968