A contagion process with self-exciting jumps in credit risk applications (Q6104946)
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scientific article; zbMATH DE number 7701607
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A contagion process with self-exciting jumps in credit risk applications |
scientific article; zbMATH DE number 7701607 |
Statements
A contagion process with self-exciting jumps in credit risk applications (English)
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26 June 2023
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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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