Pages that link to "Item:Q292361"
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The following pages link to A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361):
Displaying 11 items.
- Pricing basket default swaps in a tractable shot noise model (Q553040) (← links)
- A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap (Q940499) (← links)
- Markov chain model with catastrophe to determine mean time to default of credit risky assets (Q1696966) (← links)
- A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices (Q2176372) (← links)
- A contagion model with Markov regime-switching intensities (Q2258911) (← links)
- Credit risk model with contagious default dependencies affected by macro-economic condition (Q2275829) (← links)
- Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578) (← links)
- On a reduced form credit risk model with common shock and regime switching (Q2447411) (← links)
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (Q5086640) (← links)
