Tractable multi-firm default models based on discontinuous processes
Year of publication: |
2007-07-09
|
---|---|
Authors: | Scherer, Matthias |
Publisher: |
Universität Ulm. Fakultät für Mathematik und Wirtschaftswissenschaften |
Subject: | Credit Risk | Structural Model | Jump-diffusion process | CDO | Collateralized debt obligations | Jump processes | Credit derivatives |
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