Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity
| Year of publication: |
2009
|
|---|---|
| Authors: | Leung, Kwai ; Kwok, Yue |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 16.2009, 3, p. 169-181
|
| Publisher: |
Springer |
| Subject: | Credit default swaps | Counterparty risk | Markov chain model | Default correlation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10004976855