Pages that link to "Item:Q2397578"
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The following pages link to Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578):
Displaying 20 items.
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Valuation of a credit swap of the basket type (Q375320) (← links)
- Pricing and hedging contingent claims with regime switching risk (Q548447) (← links)
- Pricing basket default swaps in a tractable shot noise model (Q553040) (← links)
- Valuation of default swap with affine-type hazard rate (Q1302099) (← links)
- The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation (Q2174800) (← links)
- Basket credit derivative pricing in a Markov chain model with interacting intensities (Q2209220) (← links)
- A Monte-Carlo based approach for pricing credit default swaps with regime switching (Q2293596) (← links)
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699) (← links)
- A reflection principle for correlated defaults (Q2490052) (← links)
- Price discovery in the markets for credit risk: a Markov switching approach (Q2691657) (← links)
- Pricing credit derivatives in a Markov-modulated reduced-form model (Q2842530) (← links)
- A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524) (← links)
- Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model (Q5078511) (← links)
- Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate (Q5079456) (← links)
- Basket CDS pricing with default intensities using a regime-switching shot-noise model (Q5154090) (← links)
- Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models (Q5156996) (← links)
- An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model (Q5379186) (← links)
- Valuation of <i>k</i>th-to-default credit-linked notes with counterparty risk in a reduced-form model (Q6106209) (← links)
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation (Q6534849) (← links)
