A fractional credit model with long range dependent default rate
نویسندگان
چکیده
منابع مشابه
A fractional credit model with long range dependent default rate
Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates, domestic gross products or supply and demand rates, we propose a fractional Brownian motion (fBm) driven model to describe the dynamics of the short rate in a bond market as well as the default rate for possible default. We aim at results analogous to those achieved in recent years for affin...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2013
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.12.006