Credit risk: Modeling and numerical simulation

MaRDI QIDQ3550764zbMATH OpenFDO

Authors Jiao Ying

Publication date 6 April 2010

zbMATH Keywords

CDOconditional survival probabilitiesfiltrationPoisson approximationStein's methodzero bias transformation

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)

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Cited in

(11)

• Zero bias transformation and asymptotic expansions
• ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
• scientific article; zbMATH DE number 5309345 (Why is no real title available?)
• scientific article; zbMATH DE number 5690108 (Why is no real title available?)
• scientific article; zbMATH DE number 5723836 (Why is no real title available?)
• scientific article; zbMATH DE number 1475712 (Why is no real title available?)
• Credit-Risk Modelling
• Simulation Techniques in Financial Risk Management
• Fast simulations in credit risk
• Numerical estimates of risk factors contingent on credit ratings
• Stein's method and zero bias transformation for CDO tranche pricing

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