Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
Qunfang Bao, Si Chen, Shenghong Li
| Year of publication: |
2012
|
|---|---|
| Authors: | Bao, Qunfang ; Chen, Si ; Li, Shenghong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 2, p. 471-477
|
| Subject: | Credit value adjustment | Contagion model | Stochastic pre-intensities and interest | Survival measure | Affine specification | Kreditderivat | Credit derivative | Theorie | Theory | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Ansteckungseffekt | Contagion effect | Zinsstruktur | Yield curve |
| 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/10009536792