Counterparty risk valuation on credit-linked notes under a Markov chain framework
type: Item
instance of: scholarly article
title: Counterparty risk valuation on credit-linked notes under a Markov chain framework
zbMATH Open document ID: 1474.91230
author: Yanyan Li
published in: Applied Mathematics. Series B (English Edition)
publication date: 2021-06-28T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7363854
zbMATH Keywords: credit-linked notes(CLNs)
zbMATH Keywords: Markov copula
zbMATH Keywords: PDE
zbMATH Keywords: CVA
MaRDI profile type: Publication
full work available at URL: s11766-021-3477-2
OpenAlex ID: W3134921036
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DOI: 10.1007/S11766-021-3477-2
description: scientific article; zbMATH DE number 7363854