Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model

Summary

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Authors: Sidy Diop, Andrea Pascucci, Marco Di Francesco, Gian Luca De Marchi

Journal title: Applied Mathematical Finance

Journal publisher: Chapman & Hall

Published year: 2018

Published pages: 1-25

DOI identifier: 10.1080/1350486x.2018.1554447

ISSN: 1350-486X