A first-passage-time model under regime-switching market environment

Journal of Banking and Finance

Volumn 32, Issue 12, 2008, Pages 2617-2627

  Kim, Mi Ae ^a   Jang, Bong Gyu ^b   Lee, Ho Seok ^c  

^a Risk Consulting Group   (South Korea)

^b Pohang University of Science and Technology (POSTECH)   (South Korea)

^c Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

Author keywords

Credit default swap; Default correlation; Default probability; First passage time model; Regime switching model

Indexed keywords

EID: 55149094529     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.05.013     Document Type: Article

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