Correlated default models driven by a multivariate regime-switching shot noise process
Yinghui Dong, Guojing Wang and Kam Chuen Yuen
| Year of publication: |
October 2018
|
|---|---|
| Authors: | Dong, Yinghui ; Wang, Guojing ; Yuen, Kam Chuen |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 29.2018, 4, p. 351-375
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| Subject: | credit default swap | common shocks | regime-switching shot noise process | Kreditderivat | Credit derivative | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | Theorie | Theory | Noise Trading | Noise trading | Korrelation | Correlation | Schock | Shock | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpx004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974883