Multiple defaults and contagion risks
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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.
- R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195.
- Kunita, Hiroshi, 1971. "Asymptotic behavior of the nonlinear filtering errors of Markov processes," Journal of Multivariate Analysis, Elsevier, vol. 1(4), pages 365-393, December.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-10 (All new papers)
- NEP-BAN-2010-01-10 (Banking)
- NEP-RMG-2010-01-10 (Risk Management)
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