The study of dynamics for credit default risk by backward stochastic differential equation method
Kun Tian, Dewen Xiong, Wenchao Yan and George Xianzhi Yuan
| Year of publication: |
2018
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|---|---|
| Authors: | Tian, Kun ; Xiong, Dewen ; Yan, Wenchao ; Yuan, George Xianzhi |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 4, p. 1-32
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| Subject: | Default risk | bilateral collateral | BCCVA | BSDEs | contagion risk | decomposition theorem | density hypothesis | double Cox model | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Kreditsicherung | Collateral | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Risiko | Risk | Analysis | Mathematical analysis | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S242478631850038X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012028824