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INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES - MaRDI portal

INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES (Q5148006)

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scientific article; zbMATH DE number 7303456
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English
INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES
scientific article; zbMATH DE number 7303456

    Statements

    title
    INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES (English)
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    publication date
    29 January 2021
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    zbMATH Keywords
    interest rates
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    multiple curves
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    self-exciting process
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    simple forward Libor rate
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    Identifiers

    zbMATH DE Number
    7303456
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    OpenAlex ID
    W3048724050
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