A tractable multivariate default model based on a stochastic time-change
Year of publication: |
2009
|
---|---|
Authors: | Mai, Jan-Frederik ; Scherer, Matthias |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 2, p. 227-249
|
Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Fälligkeit | Maturity | Multivariate Verteilung | Multivariate distribution |
-
A Tractable Multivariate Default Model Based on a Stochastic Time-Change
Scherer, Matthias A., (2010)
-
Spread term structure and default correlation
Gagliardini, Patrick, (2016)
-
A comparison study of pricing credit default swap index tranches with convex combination of copulae
Okhrin, Ostap, (2017)
- More ...
-
Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach
Mai, Jan-Frederik, (2015)
-
What makes dependence modeling challenging? Pitfalls and ways to circumvent them
Mai, Jan-Frederik, (2013)
-
Pricing kth-to-default swaps in a Lévy-time framework
Mai, Jan-Frederik, (2009)
- More ...