Credit contagion and risk management with multiple non-ordered defaults
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References listed on IDEAS
- Umut Çetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2008.
"Modeling Credit Risk With Partial Information,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590
World Scientific Publishing Co. Pte. Ltd..
- Cetin, Umut & Jarrow, R. & Protter, P. & Yildirim, Y., 2004. "Modeling credit risk with partial information," LSE Research Online Documents on Economics 2840, London School of Economics and Political Science, LSE Library.
- Umut Cetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2004. "Modeling Credit Risk with Partial Information," Papers math/0407060, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
- NEP-BAN-2011-05-07 (Banking)
- NEP-RMG-2011-05-07 (Risk Management)
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