A Markov Chain Model for Contagion
Year of publication: |
2014
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Authors: | Dassios, Angelos ; Zhao, Hongbiao |
Published in: |
Risks. - MDPI, Open Access Journal, ISSN 2227-9091. - Vol. 2.2014, 4, p. 434-455
|
Publisher: |
MDPI, Open Access Journal |
Subject: | risk model | contagion risk | bivariate point process | Markov chain model | discretised dynamic contagion process | dynamic contagion process |
Extent: | application/pdf text/html |
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Type of publication: | Article |
Classification: | C - Mathematical and Quantitative Methods ; G0 - Financial Economics. General ; G1 - General Financial Markets ; G2 - Financial Institutions and Services ; G3 - Corporate Finance and Governance ; M2 - Business Economics ; M4 - Accounting and Auditing ; K2 - Regulation and Business Law |
Source: |
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A Markov chain model for contagion
Dassios, Angelos, (2014)
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A Markov chain model for contagion
Dassios, Angelos, (2014)
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A Markov chain model for contagion
Dassios, Angelos, (2014)
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A dynamic contagion process and an application to credit risk
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