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A note on the calculation of default probabilities in "Structural credit risk modeling with Hawkes jump-diffusion processes".
Puneet Pasricha
Xiaoping Lu
Song-Ping Zhu
Published in:
J. Comput. Appl. Math. (2021)
Keyphrases
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diffusion processes
credit risk
credit risk evaluation
diffusion process
probability distribution
denoising
evaluation method
risk analysis
credit scoring
information diffusion
text mining
financial data
markov chain
belief networks
scale spaces
nonlinear diffusion
knn
information systems