The valuation of multi-counterparties CDS with credit rating migration
type: Item
instance of: scholarly article
title: The valuation of multi-counterparties CDS with credit rating migration
zbMATH Open document ID: 1474.91232
author: Wenyi Li
author: Huaying Guo
author: Jin Liang
author: Anis Ben Brahim
published in: Applied Mathematics. Series B (English Edition)
publication date: 2021-06-17T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35K55
zbMATH DE Number: 7360396
zbMATH Keywords: CDS
zbMATH Keywords: credit rating migration risk
zbMATH Keywords: multi-counterparties
zbMATH Keywords: reduced form
zbMATH Keywords: structure style
MaRDI profile type: Publication
full work available at URL: s11766-020-3503-4
OpenAlex ID: W3117483935
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DOI: 10.1007/S11766-020-3503-4
description: scientific article; zbMATH DE number 7360396