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Credit risk modeling with affine processes - MaRDI portal

Credit risk modeling with affine processes (Q5226704)

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scientific article; zbMATH DE number 7088126
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English
Credit risk modeling with affine processes
scientific article; zbMATH DE number 7088126

    Statements

    title
    Credit risk modeling with affine processes (English)
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    publication date
    1 August 2019
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    zbMATH Keywords
    credit risk
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    affine processes
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    default correlation
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    first to default
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    author
    J. Darrell Duffie
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G20
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    60H30
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    zbMATH DE Number
    7088126
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    OpenAlex ID
    W4211159534
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