Default clustering in large portfolios: typical events
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Publication:1948691
DOI10.1214/12-AAP845zbMath1262.91141arXiv1104.1773MaRDI QIDQ1948691
Kay Giesecke, Richard B. Sowers, Konstantinos V. Spiliopoulos
Publication date: 24 April 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.1773
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10) Credit risk (91G40)
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