Background filtrations and canonical loss processes for top-down models of portfolio credit risk
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- Philippe Ehlers & Philipp J. Schoenbucher, 2006. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ying Jiao, 2009. "Multiple defaults and contagion risks," Papers 0912.3132, arXiv.org.
- repec:wsi:ijtafx:v:11:y:2008:i:02:n:s0219024908004762 is not listed on IDEAS
- repec:eee:spapps:v:127:y:2017:i:12:p:3943-3965 is not listed on IDEAS
- Ernst Eberlein & Zorana Grbac & Thorsten Schmidt, 2010. "Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes," Papers 1006.2012, arXiv.org, revised Apr 2013.
- Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
- Ying Jiao, 2009. "Multiple defaults and contagion risks," Working Papers hal-00441500, HAL.
More about this item
KeywordsCredit risk; Default correlation; Point processes; Generalized Cox processes; Hypothesis ℍ; G13; 60G35; 91B28; 91B30;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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