Counterparty risk valuation on credit-linked notes under a Markov chain framework (Q2036124)
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scientific article; zbMATH DE number 7363854
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Counterparty risk valuation on credit-linked notes under a Markov chain framework |
scientific article; zbMATH DE number 7363854 |
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Counterparty risk valuation on credit-linked notes under a Markov chain framework (English)
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28 June 2021
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credit-linked notes(CLNs)
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Markov copula
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PDE
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CVA
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