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

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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:

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

Parent items:
Centre de recherche en économie et statistique: Série des documents de travail