A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE

DOI10.1142/S0219024909005208zbMath1185.91164MaRDI QIDQ5324402

Matthias Scherer, Jan-Frederik Mai

Publication date: 3 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005208

Mathematics Subject Classification ID

91G10: Portfolio theory

91G40: Credit risk

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Cites Work

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