Credit gap risk in a first passage time model with jumps (Q5400654)
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scientific article; zbMATH DE number 6265439
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit gap risk in a first passage time model with jumps |
scientific article; zbMATH DE number 6265439 |
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Credit gap risk in a first passage time model with jumps (English)
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4 March 2014
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gap risk
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credit spreads
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credit dynamics
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first passage time models
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stochastic volatility
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general Ornstein-Uhlenbeck processes
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