Credit risk analysis of mortgage loans: An application to the Italian market
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Publication:704063
DOI10.1016/J.EJOR.2003.12.007zbMATH Open1067.90105OpenAlexW3122117847MaRDI QIDQ704063FDOQ704063
Authors: Carlo Mari, Roberto Renò 
Publication date: 12 January 2005
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.007
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Cites Work
- A theory of the term structure of interest rates
- Estimation of affine asset pricing models using the empirical characteristic function
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- An Intertemporal General Equilibrium Model of Asset Prices
- Analytical value-at-risk with jumps and credit risk
- The surprise element: Jumps in interest rates.
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Title not available (Why is that?)
- Default risk and derivative products
Cited In (5)
- CDS pricing with fractional Hawkes processes
- Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
- A constructivist multiple criteria framework for mortgage risk analysis
- Credit risk valuation model for real estate non-recourse loan
- The German and Italian contributions to exposed to risk: A historical review
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