Mirror and Synchronous Couplings of Geometric Brownian Motions
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References listed on IDEAS
- Dai Pra, Paolo & Tolotti, Marco, 2009.
"Heterogeneous credit portfolios and the dynamics of the aggregate losses,"
Stochastic Processes and their Applications,
Elsevier, vol. 119(9), pages 2913-2944, September.
- Paolo Dai Pra & Marco Tolotti, 2008. "Heterogeneous credit portfolios and the dynamics of the aggregate losses," Papers 0806.3399, arXiv.org.
- Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti, 2007. "Large portfolio losses: A dynamic contagion model," Papers 0704.1348, arXiv.org, revised Mar 2009.
- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-25 (All new papers)
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