Structural credit risk modelling with Hawkes jump diffusion processes (Q269364)
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scientific article; zbMATH DE number 6570176
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Structural credit risk modelling with Hawkes jump diffusion processes |
scientific article; zbMATH DE number 6570176 |
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Structural credit risk modelling with Hawkes jump diffusion processes (English)
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18 April 2016
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default clustering
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Hawkes process
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jump clustering
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default correlation
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