Density approach in modelling multi-defaults
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- Alexander Herbertsson, 2011. "Modelling default contagion using multivariate phase-type distributions," Review of Derivatives Research, Springer, vol. 14(1), pages 1-36, April.
- Philippe Ehlers & Philipp Schönbucher, 2009.
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- 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.
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- Rama Cont & Andreea Minca, 2013. "Recovering portfolio default intensities implied by CDO quotes," Post-Print hal-00413730, HAL.
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- Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2016. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Working Papers hal-01258645, HAL.
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