Aggregating sectors in the infectious defaults model

DOI10.1088/1469-7688/4/1/006zbMATH Open1405.91668OpenAlexW2044116847MaRDI QIDQ4647597FDOQ4647597

Authors: Ola Hammarlid 

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/006

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zbMATH Keywords

portfoliocredit riskinfectious defaults model

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Credit risk: Modelling, valuation and hedging

Cited In (3)

• Default and aggregate income
• On infectious model for dependent defaults
• Valuation of portfolio loss derivatives in an infectious model

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