Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity (Q836966)
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scientific article; zbMATH DE number 5602567
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity |
scientific article; zbMATH DE number 5602567 |
Statements
Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity (English)
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9 September 2009
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credit default swaps
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counterparty risk
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Markov chain model
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default correlation
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0.94048893
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0.89760613
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0.8941677
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0.8938838
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0.88085526
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0.8804541
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0.8776684
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0.8769567
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