On a reduced form credit risk model with common shock and regime switching

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<dc:creator>Liang, Xue</dc:creator>
<dc:creator>Wang, Guojing</dc:creator>
<dc:date>2012-11-05</dc:date>
<dc:description xml:lang="es">Sumario: Reduced form credit risk models are important ones in credit risk theory. In such a model, certain correlated relations are constructed to represent the default dependence structure among the default intensity processes. In this paper, we introduced a reduced form credit  risk model in which the default dependence structures among default intensity processes are described by the so-called common shocks with regime-switching. We derive sorne closed-form expressions for the joint distribution of the default times and for the pricing formulas of the basket default swaps. We al so give numerical results ro show the applicable aspects of the proposed model. </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/141120.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Modelo de Markov</dc:subject>
<dc:subject xml:lang="es">Riesgo crediticio</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">On a reduced form credit risk model with common shock and regime switching</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/11/2012 Volumen 51 Número 3  - noviembre 2012 , p. 567-575</dc:relation>
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