A Multivariate Default Model with Spread and Event Risk (Q4585901)
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scientific article; zbMATH DE number 6934622
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Multivariate Default Model with Spread and Event Risk |
scientific article; zbMATH DE number 6934622 |
Statements
A Multivariate Default Model with Spread and Event Risk (English)
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11 September 2018
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multivariate default model
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stochastic time-change
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credit spread volatility
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CDO pricing
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