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A contagion process with self-exciting jumps in credit risk applications - MaRDI portal

A contagion process with self-exciting jumps in credit risk applications (Q6104946)

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scientific article; zbMATH DE number 7701607
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English
A contagion process with self-exciting jumps in credit risk applications
scientific article; zbMATH DE number 7701607

    Statements

    title
    A contagion process with self-exciting jumps in credit risk applications (English)
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    published in
    Stochastics
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    publication date
    26 June 2023
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    zbMATH Keywords
    joint default risk
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    contagion process
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    affine jump-diffusion
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    Abel equation of second kind
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    collateralized debt obligations
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    Identifiers

    arXiv ID
    2202.12946
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    Mathematics Subject Classification ID
    91G40
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    91G45
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    91G20
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    60G55
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    60J74
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    zbMATH DE Number
    7701607
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