Affine models for credit risk analysis

Journal of Financial Econometrics

Volumn 4, Issue 3, 2006, Pages 494-530

  Gourieroux, Christian ^a,b   Monfort, A ^a   Polimenis, V ^c  

^a CREST   (France)

^b UNIVERSITY OF TORONTO   (Canada)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Affine model; Affine process; CaR process; Credit risk; Loss given default; Stochastic discount factor; Term structure; Through the cycle; WAR process

Indexed keywords

EID: 33748105105     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbj012     Document Type: Article

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