A New Default Intensity Model with Fuzziness and Hesitation
نویسندگان
چکیده
منابع مشابه
Contagion models with interacting default intensity processes
Credit risk is quantified by the loss distribution due to unexpected changes in the credit quality of the counterparty in a financial contract. Default correlation risk refers to the risk that a bundle of risky obligors may default together. To understand the clustering phenomena in correlated defaults, we consider credit contagion models which describe the propagation of financial distress fro...
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15 صفحه اولCredit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model
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ژورنال
عنوان ژورنال: International Journal of Computational Intelligence Systems
سال: 2016
ISSN: 1875-6891,1875-6883
DOI: 10.1080/18756891.2016.1161345