A copula-based Markov reward approach to the credit spread in the European Union
Year of publication: |
2019
|
---|---|
Authors: | D'Amico, Guglielmo ; Petroni, Filippo ; Regnalt, Philippe ; Scocchera, Stefania ; Storchi, Loriano |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 26.2019, 4, p. 359-386
|
Subject: | Sovereign credit rating | Markov process | Dynamic measure of inequality | Copula | Change-point | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | EU-Staaten | EU countries | Zinsstruktur | Yield curve | Länderrisiko | Country risk |
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