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

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