Dynamic defaultable term structure modeling beyond the intensity paradigm
Year of publication: |
2018
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Authors: | Gehmlich, Frank ; Schmidt, Thorsten |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 1, p. 211-239
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Subject: | credit risk | HJM | forward rate | structural approach | reduced-form approach | Azéma supermartingale | affine processes | filtering | Theorie | Theory | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Derivat | Derivative |
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