A fractional credit model with long range dependent default rate-Reference-Cited by-同舟云学术

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A fractional credit model with long range dependent default rate

Published:2013-04 Issue:4 Volume:123 Page:1319-1347
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Biagini Francesca,Fink Holger,Klüppelberg Claudia

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference36 articles.

1. Long memory inflation uncertainty: evidence from the term structure of interest rates;Backus;Journal of Money, Credit and Banking,1993

2. Credit contagion in a long range dependent macroeconomic factor model;Biagini,2008

3. Stochastic Calculus for Fractional Brownian Motion and Applications;Biagini,2011

4. Credit Risk: Modeling, Valuation and Hedging;Bielecki,2002

5. Interest Rate Models—Theory and Practice;Brigo,2001

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