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
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Cites work
- scientific article; zbMATH DE number 1222802 (Why is no real title available?)
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A theory of the term structure of interest rates
- An Intertemporal General Equilibrium Model of Asset Prices
- Analytical value-at-risk with jumps and credit risk
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
- Default risk and derivative products
- Estimation of affine asset pricing models using the empirical characteristic function
- The surprise element: Jumps in interest rates.
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(5)- CDS pricing with fractional Hawkes processes
- Credit risk valuation model for real estate non-recourse loan
- The German and Italian contributions to exposed to risk: A historical review
- Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
- A constructivist multiple criteria framework for mortgage risk analysis
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