A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524)
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scientific article; zbMATH DE number 6328233
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk |
scientific article; zbMATH DE number 6328233 |
Statements
A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (English)
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8 August 2014
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credit default swap
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counterparty risk
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common shock
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multivariate regime-switching shot noise process
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first-to-default basket swap
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