Credit Risk Propagation in Structural-Form Models

DOI10.1137/20M135340XzbMath1476.91203MaRDI QIDQ5162860

Chu-Lan Kao, Cheng-Der Fuh

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

renewal theorycorrelated defaultsstructural-form modelmultiname distance-to-defaults

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Credit risk (91G40)

Cites Work

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