Affine point processes and portfolio credit risk (Q3055867)
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scientific article; zbMATH DE number 5814400
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| default for all languages | No label defined |
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| English | Affine point processes and portfolio credit risk |
scientific article; zbMATH DE number 5814400 |
Statements
Affine Point Processes and Portfolio Credit Risk (English)
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10 November 2010
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self-exciting point process
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affine jump diffusion
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Hawkes process
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correlated default
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portfolio credit derivative
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index and tranche swap
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0.8462690711021423
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0.7963359355926514
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0.7956289052963257
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0.7793724536895752
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