A default contagion model for pricing defaultable bonds from an information based perspective (Q6101028): Difference between revisions

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+Credit risk: Modelling, valuation and hedging
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+A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective
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+Q5506192
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+INFORMATION-BASED ASSET PRICING
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+Credit Risk, Market Sentiment and Randomly-Timed Default
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+Modelling Information Flows in Financial Markets
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+Modeling credit risk with partial information.
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+Invariance Properties in the Dynamic Gaussian Copula Model
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+INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
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+Q5226713
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+Term Structures of Credit Spreads with Incomplete Accounting Information
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+What happens after a default: the conditional density approach
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+Density Approach in Modeling Successive Defaults
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+Credit risk and contagion via self-exciting default intensity
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+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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+Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
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+Q4936390
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+Q2743901
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+BSDEs with jumps, optimization and applications to dynamic risk measures
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+Q4226355
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
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+AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
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+Basket CDS pricing with interacting intensities
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