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Conditional Default Probability and Density - MaRDI portal

Conditional Default Probability and Density (Q4561933)

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scientific article; zbMATH DE number 6993394
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English
Conditional Default Probability and Density
scientific article; zbMATH DE number 6993394

    Statements

    title
    Conditional Default Probability and Density (English)
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    author
    Nicole El Karoui
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    Ying Jiao
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    Behnaz Zargari
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    publication date
    13 December 2018
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    Mathematics Subject Classification ID
    91G40
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    62P05
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    62H05
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    62M20
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    zbMATH DE Number
    6993394
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    zbMATH Keywords
    credit risk
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    default models
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    survival process
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    Brownian motion
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    Gaussian copula
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    filtering
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    OpenAlex ID
    W322473616
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