Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names (Q5169978)
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scientific article; zbMATH DE number 6317931
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| English | Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names |
scientific article; zbMATH DE number 6317931 |
Statements
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES (English)
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17 July 2014
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loss distribution
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single name default dynamics
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cluster default dynamics
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calibration
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generalized Poisson processes
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stochastic intensity
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spread dynamics
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common Poisson shock models
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0.757141649723053
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0.7490391135215759
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0.7450883388519287
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0.7398897409439087
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0.7396793365478516
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