Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model
Yinghui Dong; Xue Liang; Guojing Wang
| Year of publication: |
2012
|
|---|---|
| Authors: | Dong, Yinghui ; Liang, Xue ; Wang, Guojing |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 19.2012, 4, p. 391-415
|
| Subject: | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Theorie | Theory | Markov-Kette | Markov chain |
| 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/10009705355