The following pages link to Up and down credit risk (Q3064015):
Displayed 9 items.
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (Q964581) (← links)
- Dynamics of multivariate default system in random environment (Q1679470) (← links)
- Dynamic hedging of portfolio credit risk in a Markov copula model (Q2247917) (← links)
- Reduced-form framework for multiple ordered default times under model uncertainty (Q2680389) (← links)
- A set-valued Markov chain approach to credit default (Q4991050) (← links)
- Portfolio credit risk with predetermined default orders (Q5001115) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654) (← links)
- Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches (Q5419656) (← links)