Credit risk-A structural model with jumps and correlations

Physica A: Statistical Mechanics and its Applications

Volumn 383, Issue 2, 2007, Pages 533-569

  Schäfer, Rudi ^a   Sjölin, Markus ^a   Sundin, Andreas ^a   Wolanski, Michal ^a   Guhr, Thomas ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Credit risk; Econophysics; Stochastic processes

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; LARGE SCALE SYSTEMS; PARAMETER ESTIMATION; RANDOM PROCESSES; RISK ANALYSIS;

CREDIT RISK; JUMP DIFFUSION PROCESS; PARAMETER DEPENDENCE; RISK FACTORS; STATISTICAL PHYSICS;

MODEL STRUCTURES;

EID: 34447101582     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.04.053     Document Type: Article

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