LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES (Q5061487)
From MaRDI portal
scientific article; zbMATH DE number 7488280
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES |
scientific article; zbMATH DE number 7488280 |
Statements
LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES (English)
0 references
11 March 2022
0 references
defaultable claims
0 references
credit risk
0 references
FS decomposition
0 references
local risk minimization
0 references
running infimum process
0 references
structural models
0 references
reduced form models
0 references
hazard rate
0 references
0 references
