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2009•SSRN Electronic JournalOpen access

Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model With Stochastic Intensity

Kwai Sun Leung, Yue Kuen Kwok

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Key concepts: Credit risk, Markov chain, Intensity (physics), Business, Counterparty, Credit derivative, Econometrics, Actuarial science

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