Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
| Year of publication: |
2007
|
|---|---|
| Authors: | Guglielmo D’Amico ; Janssen, Jacques ; Manca, Raimondo |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 29.2007, 2, p. 119-138
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Non-homogeneous semi-Markov processes | Credit risk | Stochastic recovery rate | Default swap | Reliability |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005674192