Credit risk valuation with rating transitions and partial information
Donatien Hainaut; Christian Yann Robert
| Year of publication: |
2014
|
|---|---|
| Authors: | Hainaut, Donatien ; Robert, Christian Yann |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 7, p. 1-44
|
| Subject: | Credit migrations models | partial and delayed information | corporate bonds | credit derivatives | phase-type distributions | Kreditrisiko | Credit risk | Unternehmensanleihe | Corporate bond | Theorie | Theory | Derivat | Derivative | Kreditwürdigkeit | Credit rating | Kreditderivat | Credit derivative |
| 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/10010498847