Conditional Default Probability and Density

DOI10.1007/978-3-319-02069-3_9zbMath1418.91570OpenAlexW322473616MaRDI QIDQ4561933

Nicole El Karoui, Ying Jiao, Behnaz Zargari, Monique Jeanblanc-Picqué

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_9

zbMATH Keywords

Brownian motionfilteringcredit riskGaussian copuladefault modelssurvival process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

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