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

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+Stochastic Evolution Equations in Portfolio Credit Modelling
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+Large portfolio losses: A dynamic contagion model
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+Heterogeneous credit portfolios and the dynamics of the aggregate losses
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+LARGE PORTFOLIO CREDIT RISK MODELING
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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
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Q3721531
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+Q3888269
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+Credit contagion and aggregate losses
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+LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
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+Q3992729
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+The law of large numbers for self-exciting correlated defaults
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+Q4002114
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+Q3997782
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+Q3996430
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+Utility valuation of multi-name credit derivatives and application to CDOs
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