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Pricing default events: surprise, exogeneity and contagion - MaRDI portal

Pricing default events: surprise, exogeneity and contagion (Q2511807)

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scientific article
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Pricing default events: surprise, exogeneity and contagion
scientific article

    Statements

    title
    Pricing default events: surprise, exogeneity and contagion (English)
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    author
    Alain Monfort
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    Jean-Paul Renne
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    publication date
    6 August 2014
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    zbMATH Keywords
    credit derivative
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    default event
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    default intensity
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    frailty
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    contagion
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    credit spread puzzle
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G20
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    62P05
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    zbMATH DE Number
    6325816
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    OpenAlex ID
    W1965048078
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