Affine modeling of credit risk, pricing of credit events and contagion

Bibliographic Details

Authors and Corporations:	Monfort, Alain (Author), Pegoraro, Fulvio (Author), Renne, Jean-Paul (Author), Roussellet, Guillaume (Author)
Other Authors:	Pegoraro, Fulvio [Author] • Renne, Jean-Paul 1979- [Author] • Roussellet, Guillaume [Author]
Edition:	This version: December 2019
Type of Resource:	E-Book
Language:	English
published:	[Palaiseau] Center for Research in Economics and Statistics December 2019
Series:	Centre de recherche en économie et statistique: Série des documents de travail ; no. 2020, 01
Subjects:	affine credit risk model Gamma-zero distribution no-jump condition contagion credit-event risk sovereign credit risk and exchange rates Graue Literatur
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen