A Copula-based Markov Reward Approach to the Credit Spread in the European Union
DOI10.1080/1350486X.2019.1702068zbMath1430.91123arXiv1902.00691OpenAlexW2994787649WikidataQ126541361 ScholiaQ126541361MaRDI QIDQ5207796
Stefania Scocchera, Philippe Regnault, Loriano Storchi, Filippo Petroni, Guglielmo D'Amico
Publication date: 13 January 2020
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.00691
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)
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