On a reduced form credit risk model with common shock and regime switching
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| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20120054035 | ||
| 003 | MAP | ||
| 005 | 20130228104215.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20120028555$aLiang, Xue | |
| 245 | 1 | 0 | $aOn a reduced form credit risk model with common shock and regime switching$cXue Liang, Guojing Wang |
| 520 | $aReduced 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. | ||
| 650 | 1 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 1 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 1 | $0MAPA20080576783$aModelo de Markov | |
| 650 | 1 | $0MAPA20080582401$aRiesgo crediticio | |
| 700 | 1 | $0MAPA20130002774$aWang, Guojing | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g05/11/2012 Volumen 51 Número 3 - noviembre 2012 , p. 567-575 | |
| 856 | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |