A Copula-based Markov Reward Approach to the Credit Spread in the European Union-Reference-Cited by-同舟云学术

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A Copula-based Markov Reward Approach to the Credit Spread in the European Union

Published:2019-07-04 Issue:4 Volume:26 Page:359-386
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

D’Amico Guglielmo¹,Petroni Filippo²,Regnault Philippe³,Scocchera Stefania²,Storchi Loriano¹

Affiliation:

1. Department of Pharmacy, University G. D’Annunzio Chieti - Pescara, Chieti, Italy

2. Department of Management, University Politecnica delle Marche Piazza Martelli, Ancona, Italy

3. Laboratory of Mathematics, University of Reims Champagne Ardenne Moulin de la Housse, Reims, France

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2019.1702068

Reference34 articles.

1. Credit spread interdependencies of European states and banks during the financial crisis

2. Ratings migration and the business cycle, with application to credit portfolio stress testing

3. Differential market reactions to pre and post Brexit referendum

4. Bivariate option pricing with copulas

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1. Randentropy: A Software to Measure Inequality in Random Systems;Informatica;2022

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