Hedging default risks of CDOs in Markovian contagion models (Q2866390): Difference between revisions

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+https://doi.org/10.1080/14697680903390126
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+W2081806266
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+Hazard rate for credit risk and hedging defaultable contingent claims
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+JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS
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+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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+Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
@@ Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank @@
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