Spread Term Structure and Default Correlation
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KeywordsCorporate Bonds; Credit Risk; Default Correlation; Jumps in Intensities; Copula; Credit Derivatives; Stochastic Intensity;
All these keywords.
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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