Spread term structure and default correlation

Patrick Gagliardini, Christian Gouriéroux

Year of publication:	December 2016
Authors:	Gagliardini, Patrick ; Gouriéroux, Christian
Published in:	Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 175-223
Subject:	Corporate Bonds \| Credit Risk \| Default Correlation \| Jumps in Intensities \| Copula \| Credit Derivatives \| Stochastic Intensity \| Kreditrisiko \| Credit risk \| Korrelation \| Correlation \| Unternehmensanleihe \| Corporate bond \| Zinsstruktur \| Yield curve \| Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| Multivariate Verteilung \| Multivariate distribution \| Kreditderivat \| Credit derivative \| Insolvenz \| Insolvency \| Stochastischer Prozess \| Stochastic process

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