Pages that link to "Item:Q1948691"
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The following pages link to Default clustering in large portfolios: typical events (Q1948691):
Displayed 16 items.
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- A Curie-Weiss model with dissipation (Q393396) (← links)
- Fluctuation analysis for the loss from default (Q402480) (← links)
- The law of large numbers for self-exciting correlated defaults (Q436290) (← links)
- Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
- Credit risk and contagion via self-exciting default intensity (Q902175) (← links)
- Particle systems with a singular mean-field self-excitation. Application to neuronal networks (Q2342403) (← links)
- On the effect of heterogeneity on flocking behavior and systemic risk (Q2409063) (← links)
- Closed-form likelihood estimation for one type of affine point processes (Q2830794) (← links)
- Mean-Field Limit of a Stochastic Particle System Smoothly Interacting Through Threshold Hitting-Times and Applications to Neural Networks with Dendritic Component (Q3195479) (← links)
- Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
- A Multivariate Default Model with Spread and Event Risk (Q4585901) (← links)
- LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (Q5175224) (← links)
- Default Clustering in Large Pools: Large Deviations (Q5250039) (← links)
- Long Time Results for a Weakly Interacting Particle System in Discrete Time (Q5256268) (← links)
- Systemic Risk in Interbanking Networks (Q5258451) (← links)