Credit risk modeling with affine processes

Journal of Banking and Finance

Volumn 29, Issue 11, 2005, Pages 2751-2802

  Duffie, Darrell ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

Affine processes; Credit risk; Default correlation; First to default

Indexed keywords

EID: 25144494545     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.02.006     Document Type: Article

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