Monte Carlo Algorithms for Default Timing Problems
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dassios, Angelos & Zhao, Hongbiao, 2017. "A generalised contagion process with an application to credit risk," LSE Research Online Documents on Economics 68558, London School of Economics and Political Science, LSE Library.
- Dianfa Chen & Jun Deng & Jianfen Feng, 2017. "An Explicit Default Contagion Model and Its Application," Papers 1706.06285, arXiv.org, revised Dec 2017.
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Keywordssimulation; probability; stochastic model applications; financial institutions; banks;
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