MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
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Publication:4635040
DOI10.1111/mafi.12136zbMath1403.91364OpenAlexW1861811057MaRDI QIDQ4635040
Publication date: 13 April 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12136
sovereign riskdecomposition of stopping timesgeneralized density of defaultlong-term government bondsovereign solvency
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (8)
An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ Generalized Cox model for default times ⋮ Representation for martingales living after a random time with applications ⋮ Characteristics and Constructions of Default Times ⋮ Thin times and random times' decomposition
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