Recovering default risk from CDS spreads with a nonlinear filter
Alexander Guarin; Xiaoquan Liu; Wing Lon Ng
| Year of publication: |
2014
|
|---|---|
| Authors: | Guarin, Alexander ; Liu, Xiaoquan ; Wing Lon Ng |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 38.2014, p. 87-104
|
| Subject: | CDS spreads | Meshfree methods | Radial basis function interpolation | Fokker-Planck equation | CIR model | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Theorie | Theory | Zinsstruktur | Yield curve | Risikoprämie | Risk premium |
| 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/10010387855