Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk
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- 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.
References listed on IDEAS
- Sanjiv R. Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2007.
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- David Heath & Robert Jarrow & Andrew Morton, 2008.
"Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation,"
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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.
- Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
- 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.
- 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 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
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