LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (Q5175224): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3124954191
@@ Property / OpenAlex ID: W3124954191 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1272
@@ Property / arXiv ID: 1109.1272 / rank @@
+Normal rank
@@ Property / cites work @@
+Moment theory and some inverse problems in potential theory and heat conduction
+Normal rank
@@ Property / cites work @@
+Exact simulation of diffusions
@@ Property / cites work: Exact simulation of diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Evolution Equations in Portfolio Credit Modelling
+Normal rank
@@ Property / cites work @@
+Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+The law of large numbers for self-exciting correlated defaults
+Normal rank
@@ Property / cites work @@
+Heterogeneous credit portfolios and the dynamics of the aggregate losses
+Normal rank
@@ Property / cites work @@
+Large portfolio losses: A dynamic contagion model
@@ Property / cites work: Large portfolio losses: A dynamic contagion model / rank @@
+Normal rank
@@ Property / cites work @@
+LARGE PORTFOLIO CREDIT RISK MODELING
@@ Property / cites work: LARGE PORTFOLIO CREDIT RISK MODELING / rank @@
+Normal rank
@@ Property / cites work @@
+Large portfolio losses
@@ Property / cites work: Large portfolio losses / rank @@
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Sampling of Jump Diffusions
@@ Property / cites work: Exact Sampling of Jump Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Filtered likelihood for point processes
@@ Property / cites work: Filtered likelihood for point processes / rank @@
+Normal rank
@@ Property / cites work @@
+Default clustering in large portfolios: typical events
+Normal rank
@@ Property / cites work @@
+Credit contagion and aggregate losses
@@ Property / cites work: Credit contagion and aggregate losses / rank @@
+Normal rank
@@ Property / cites work @@
+LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
+Normal rank
@@ Property / cites work @@
+\(L_p\)-theory of parabolic SPDEs degenerating on the boundary of \(C^{1}\) domains
+Normal rank
@@ Property / cites work @@
+Sobolev space theory of SPDEs with continuous or measurable leading coefficients
+Normal rank
@@ Property / cites work @@
+A Sobolev Space Theory of SPDE with Constant Coefficients on a Half Line
+Normal rank
@@ Property / cites work @@
+Linear stochastic parabolic equations, degenerating on the boundary of a domain
+Normal rank
@@ Property / cites work @@
+A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
+Normal rank
@@ Property / cites work @@
+Utility valuation of multi-name credit derivatives and application to CDOs
+Normal rank