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Credit Risk Propagation in Structural-Form Models - MaRDI portal

Credit Risk Propagation in Structural-Form Models (Q5162860)

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scientific article; zbMATH DE number 7421271
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Credit Risk Propagation in Structural-Form Models
scientific article; zbMATH DE number 7421271

    Statements

    title
    Credit Risk Propagation in Structural-Form Models (English)
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    author
    Cheng-Der Fuh
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    Chu-Lan Kao
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    publication date
    5 November 2021
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    zbMATH Keywords
    structural-form model
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    correlated defaults
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    renewal theory
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    multiname distance-to-defaults
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    cites work
    Q3920398
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    Q3954620
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    Q3968261
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    Q5226699
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    Q5226713
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    Q5326873
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    Identifiers

    DOI
    10.1137/20M135340X
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    zbMATH DE Number
    7421271
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