Credit portfolio selection with decaying contagion intensities (Q5743120)
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scientific article; zbMATH DE number 7052624
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Credit portfolio selection with decaying contagion intensities |
scientific article; zbMATH DE number 7052624 |
Statements
Credit portfolio selection with decaying contagion intensities (English)
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8 May 2019
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decay of default intensities
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dynamic programming
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fixed-income investment
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parabolic PDEs
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