A set-valued Markov chain approach to credit default

DOI10.1080/14697688.2019.1693053zbMath1466.91362OpenAlexW2953397317MaRDI QIDQ4991050

Bin Zou, Jianfen Feng, Jun Deng, Dianfa Chen

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1693053

zbMATH Keywords

Markov chaincredit riskjump diffusioncollateral default obligation (CDO)tranche spread

Mathematics Subject Classification ID

Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

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