Counterparty risk valuation on credit-linked notes under a Markov chain framework

DOI10.1007/s11766-021-3477-2zbMath1474.91230OpenAlexW3134921036MaRDI QIDQ2036124

Yanyan Li

Publication date: 28 June 2021

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-021-3477-2

zbMATH Keywords

PDECVAcredit-linked notes(CLNs)Markov copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

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