Modeling the Dynamics of Credit Spreads with Stochastic Volatility
Year of publication: |
2003-08-01
|
---|---|
Authors: | Jacobs, Kris ; Li, Xiaofei |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | credit risk | credit spreads | reduced form models | stochastic volatility | risque de crédit | écarts de crédit | modèles à forme réduite | volatilité stochastique |
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