Default clustering in large portfolios: typical events (Q1948691): Difference between revisions

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+.1773
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+Stochastic Evolution Equations in Portfolio Credit Modelling
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+Large portfolio losses: A dynamic contagion model
@@ Property / cites work: Large portfolio losses: A dynamic contagion model / rank @@
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+Heterogeneous credit portfolios and the dynamics of the aggregate losses
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+LARGE PORTFOLIO CREDIT RISK MODELING
@@ Property / cites work: LARGE PORTFOLIO CREDIT RISK MODELING / rank @@
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+Wandering random measures in the Fleming-Viot model
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+Convergence of discretized stochastic (interest rate) processes with stochastic drift term
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+Large portfolio losses
@@ Property / cites work: Large portfolio losses / rank @@
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Q3721531
@@ Property / cites work: Q3721531 / rank @@
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+Q3888269
@@ Property / cites work: Q3888269 / rank @@
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+Credit contagion and aggregate losses
@@ Property / cites work: Credit contagion and aggregate losses / rank @@
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+LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
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@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
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+The law of large numbers for self-exciting correlated defaults
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+Q4002114
@@ Property / cites work: Q4002114 / rank @@
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+Q3997782
@@ Property / cites work: Q3997782 / rank @@
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+Q3996430
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+Utility valuation of multi-name credit derivatives and application to CDOs
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