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~isPartOf:"SFB 373 Discussion Paper"
~person:"Giesecke, Kay"
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incomplete information
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compensator
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copulas
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correlated defaults
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credit spreads
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default clustering
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intensity
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SFB 373 Discussion Paper
Discussion papers of interdisciplinary research project 373
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SFB 373 Discussion Papers
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Journal of economic dynamics & control
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Default compensator,
incomplete
information
, and the term structure of credit spreads
Giesecke, Kay
-
2001
informational asymmetries. While bond investors observe default incidents, we suppose that they have
incomplete
information
on the …
Persistent link: https://www.econbiz.de/10010310529
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2
Correlated default with
incomplete
information
Giesecke, Kay
-
2001
We propose a model of correlated multi-firm default with
incomplete
information
. While public bond investors observe …
Persistent link: https://www.econbiz.de/10010310538
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