Pages that link to "Item:Q2447411"

The following pages link to On a reduced form credit risk model with common shock and regime switching (Q2447411):

Displaying 31 items.

• Pricing credit spread option with Longstaff-Schwartz and GARCH models in Chinese bond market (Q256747) (← links)
• A Markov copula model with regime switching and its application (Q272813) (← links)
• A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
• On a multi-dimensional risk model with regime switching (Q320264) (← links)
• Valuing risky debt: a new model combining structural information with the reduced-form approach (Q743165) (← links)
• Pricing catastrophe options with counterparty credit risk in a reduced form model (Q1637025) (← links)
• A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114) (← links)
• A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives (Q1933756) (← links)
• A Markov modulated dynamic contagion process with application to credit risk (Q2000733) (← links)
• Optimal feedback control of stock prices under credit risk dynamics (Q2151675) (← links)
• On the probability of default in a market with price clustering and jump risk (Q2175460) (← links)
• Optimal reinsurance-investment problem with dependent risks based on Legendre transform (Q2190278) (← links)
• Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model (Q2196052) (← links)
• Optimal mean-variance investment/reinsurance with common shock in a regime-switching market (Q2274152) (← links)
• Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks (Q2296543) (← links)
• Valuation and risk assessment of participating life insurance in the presence of credit risk (Q2374130) (← links)
• Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence (Q2520452) (← links)
• Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk (Q2684941) (← links)
• Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach (Q2700075) (← links)
• A reduced model with thinning-dependence structure (Q2860078) (← links)
• Prepayment option of a perpetual corporate loan: the impact of the funding costs (Q2874734) (← links)
• Dependence properties of dynamic credit risk models (Q2909818) (← links)
• Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Q3195064) (← links)
• Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model (Q5078511) (← links)
• A new class of multivariate counting processes and its characterization (Q5086429) (← links)
• A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (Q5086640) (← links)
• Basket CDS pricing with default intensities using a regime-switching shot-noise model (Q5154090) (← links)
• Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework (Q6096581) (← links)
• Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach (Q6193111) (← links)
• A recursive method for fractional Hawkes intensities and the potential approach of credit risk (Q6569141) (← links)
• Pricing CDS index tranches under thinning-dependence structure with regime switching (Q6582033) (← links)