On Modeling Economic Default Time: A Reduced-Form Model Approach
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DOI: 10.1007/s10614-014-9469-0
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- Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng, 2013. "On Modeling Economic Default Time: A Reduced-Form Model Approach," Papers 1306.6402, arXiv.org.
References listed on IDEAS
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Cited by:
- Feng-Hui Yu & Jiejun Lu & Jia-Wen Gu & Wai-Ki Ching, 2019. "Modeling Credit Risk with Hidden Markov Default Intensity," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1213-1229, October.
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Keywords
Economic default time; Reduced-form model; Affine jump diffusion model;All these keywords.
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