A Markov modulated dynamic contagion process with application to credit risk
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Publication:2000733
DOI10.1007/s10955-019-02264-wzbMath1481.60172OpenAlexW2921477248WikidataQ128220171 ScholiaQ128220171MaRDI QIDQ2000733
Dharmaraja Selvamuthu, Puneet Pasricha
Publication date: 28 June 2019
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-019-02264-w
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Risk models (general) (91B05) Jump processes on general state spaces (60J76)
Related Items (2)
A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling ⋮ A contagion process with self-exciting jumps in credit risk applications
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