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General dynamic term structures under default risk - MaRDI portal

General dynamic term structures under default risk (Q1615894)

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General dynamic term structures under default risk
scientific article

    Statements

    title
    General dynamic term structures under default risk (English)
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    author
    Claudio Fontana
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    Thorsten Schmidt
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    publication date
    31 October 2018
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    zbMATH Keywords
    credit risk
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    HJM
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    arbitrage
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    forward rate
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    default compensator
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    structural approach
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    reduced-form approach
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    large financial market
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    recovery
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    cites work
    Q4274285
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    Q4778955
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    Q4435813
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G20
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    91G30
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    60H30
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    zbMATH DE Number
    6969513
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    OpenAlex ID
    W2964000322
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    arXiv ID
    1603.03198
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