Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching |
scientific article; zbMATH DE number 6892449
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching |
scientific article; zbMATH DE number 6892449 |
Statements
Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (English)
0 references
21 June 2018
0 references
intensity-based model
0 references
regime switching
0 references
Markov chain
0 references
credit default swaps
0 references
bilateral counterparty risk
0 references
0 references
0 references
0.93465674
0 references
0.9197965
0 references
0.91921294
0 references
0.9175045
0 references
0.9111664
0 references
0.9063925
0 references
0.90531003
0 references
0.9028759
0 references
0.90266675
0 references
