Risk Analysis of Collateralized CDS under Markov Copula Model with Regime Switching and Shot Noise

LIANG Xue, DONG YingHui, CHEN Yang

PDF(914 KB)
PDF(914 KB)
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS ›› 2017, Vol. 33 ›› Issue (4) : 385-407. DOI: 10.3969/j.issn.1001-4268.2017.04.005
article

Risk Analysis of Collateralized CDS under Markov Copula Model with Regime Switching and Shot Noise

    {{javascript:window.custom_author_en_index=0;}}
  • {{article.zuoZhe_EN}}
Author information +
History +

HeighLight

{{article.keyPoints_en}}

Abstract

{{article.zhaiyao_en}}

Key words

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}. 2017, 33(4): 385-407 https://doi.org/10.3969/j.issn.1001-4268.2017.04.005

References

Publishing order | Descend order by publishing year | Descend order by cited within

References

{{article.reference}}

Funding

RIGHTS & PERMISSIONS

{{article.copyrightStatement_en}}
{{article.copyrightLicense_en}}
PDF(914 KB)

Accesses

Citation

Detail
Sections
Recommended
Copyright © CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
Tel: 021-54345267　Fax: 021-54345058　E-mail: aps@stat.ecnu.edu.cn
Powered by Beijing Magtech Co. Ltd.

/

〈 〉