Modelling default contagion using multivariate phase-type distributions
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More about this item
KeywordsPortfolio credit risk; Intensity-based models; Dynamic dependence modelling; CDS-correlation; Default contagion; Markov jump processes; Multivariate phase-type distributions; Matrix-analytic methods; Primary G33; G13; Secondary C02; C63; G32;
All these keywords.
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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