Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes
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References listed on IDEAS
- Philippe Ehlers & Philipp Schönbucher, 2009.
"Background filtrations and canonical loss processes for top-down models of portfolio credit risk,"
Finance and Stochastics,
Springer, vol. 13(1), pages 79-103, January.
- 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.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
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