Dianfa Chen

Nankai University

94 Weijin Road

Tianjin, 300071

China

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A Set-Valued Markov Chain Approach to Credit Default

Number of pages: 41 Posted: 12 Sep 2018 Last Revised: 06 Oct 2019
Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou
Nankai University, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
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Abstract:

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credit risk; collateral default obligation (CDO); Markov chain; jump diffusion; tranche spread