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Bivariate Semi-Markov Processes and Related Reward Processes for Counterparty Credit Risk and Credit Spreads
Bivariate Semi-Markov Processes and Related Reward Processes for Counterparty Credit Risk and Credit Spreads
2017
Guglielmo D'Amico
Giuseppe Di Biase
Jacques Janssen
Raimondo Manca
Keywords:
Business
Credit default swap index
Financial system
Credit risk
Credit valuation adjustment
Yield spread
Markov process
Bivariate analysis
Finance
Actuarial science
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