An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model

DOI10.1080/10920277.2016.1180996zbMath1414.91399OpenAlexW2289576555MaRDI QIDQ5379186

Andreas Milidonis

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10220/41179

zbMATH Keywords

credit default swapregime-switching default risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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