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マルコフ過程の近似および変換の研究とクレジットリスク分析への応用

マルコフ過程の近似および変換の研究とクレジットリスク分析への応用
Digital博士論文
ルースダン, ケヴヘイッシュウィリKyoto University2019-03-25
Available onlineOther Libraries in Japan
  • Subject Headingcredit risk shot noise option-theoretic approach CDS spreads h-transform optimal stopping ...

Estimating implied recovery rates from the term structure of CDS spreads

Estimating implied recovery rates from the term structure of CDS spreads
Digital文書・図像類
Jaskowski, Marcin, McAleer, MichaelInstitute of Economic Research, Kyoto University2012-12KIER Discussion Paper836
Available onlineOther Libraries in Japan
  • Summary, etc....m structure of CDS spreads. The parameters of the model ...
  • Subject HeadingConstant recovery stochastic recovery implied recovery rate term structure CDS spreads

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