Spectral expansions for credit risk modelling with occupation times
Year of publication: |
2022
|
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Authors: | Campolieti, Giuseppe ; Kato, Hiromichi ; Makarov, Roman |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 10.2022, 12, Art.-No. 228, p. 1-20
|
Subject: | credit risk models | occupation time | spectral expansions | default probability | creditdefault spread | hazard rate function | solvable diffusions | Theorie | Theory | Kreditrisiko | Credit risk | Kreditwürdigkeit | Credit rating | Wahrscheinlichkeitsrechnung | Probability theory |
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