A Markov modulated dynamic contagion process with application to credit risk
type: Item
instance of: scholarly article
title: A Markov modulated dynamic contagion process with application to credit risk
zbMATH Open document ID: 1481.60172
author: Puneet Pasricha
author: Dharmaraja Selvamuthu
published in: Journal of Statistical Physics
publication date: 2019-06-28T00:00:00Z
Mathematics Subject Classification ID: 60J76
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 91B05
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 7075082
zbMATH Keywords: contagion process
zbMATH Keywords: affine jump diffusion process
zbMATH Keywords: credit risk
zbMATH Keywords: regime-switching
MaRDI profile type: Publication
full work available at URL: s10955-019-02264-w
OpenAlex ID: W2921477248
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Wikidata QID: Q128220171
DOI: 10.1007/S10955-019-02264-W
description: scientific article; zbMATH DE number 7075082