Pages that link to "Item:Q3622841"
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The following pages link to BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (Q3622841):
Displaying 13 items.
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (Q964581) (← links)
- Dynamics of multivariate default system in random environment (Q1679470) (← links)
- Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing (Q2355189) (← links)
- Reduced-form framework for multiple ordered default times under model uncertainty (Q2680389) (← links)
- STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS (Q2799999) (← links)
- TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK (Q2851562) (← links)
- Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (Q3652704) (← links)
- On break-even correlation: the way to price structured credit derivatives by replication (Q4683100) (← links)
- RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (Q4906515) (← links)
- Portfolio credit risk with predetermined default orders (Q5001115) (← links)
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (Q5086640) (← links)
- An extension of Davis and Lo's contagion model (Q5746773) (← links)
