A regime switching model for the term structure of credit risk spreads
Year of publication: |
2015
|
---|---|
Authors: | Choi, Seung-mook S. ; Marcozzi, Michael D. |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 1, p. 49-57
|
Subject: | Optimal Stopping | Failure Rate | Regime Switching | Credit Risk Spreads | Theorie | Theory | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Markov-Kette | Markov chain |
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