Pages that link to "Item:Q3168859"
From MaRDI portal
The following pages link to PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (Q3168859):
Displaying 31 items.
- A mathematical treatment of bank monitoring incentives (Q471170) (← links)
- Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity (Q836966) (← links)
- Heterogeneous credit portfolios and the dynamics of the aggregate losses (Q841485) (← links)
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (Q964581) (← links)
- A simple mean field model for social interactions: dynamics, fluctuations, criticality (Q977199) (← links)
- Dynamic investment and counterparty risk (Q1705168) (← links)
- Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models (Q1733754) (← links)
- Pricing basket default swaps using quasi-analytic techniques (Q2044822) (← links)
- Basket credit derivative pricing in a Markov chain model with interacting intensities (Q2209220) (← links)
- Macroscopic limit of a bipartite Curie-Weiss model: a dynamical approach (Q2254915) (← links)
- Parameter evaluation for a statistical mechanical model for binary choice with social interaction (Q2272855) (← links)
- Credit risk model with contagious default dependencies affected by macro-economic condition (Q2275829) (← links)
- Portfolio optimization of credit swap under funding costs (Q2296104) (← links)
- Portfolio optimization in a defaultable Lévy-driven market model (Q2516636) (← links)
- Optimal credit investment and risk control for an insurer with regime-switching (Q2633456) (← links)
- OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK (Q2831003) (← links)
- Hedging default risks of CDOs in Markovian contagion models (Q2866390) (← links)
- Dependence properties of dynamic credit risk models (Q2909818) (← links)
- Robust Optimization of Credit Portfolios (Q2976139) (← links)
- PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS (Q3580185) (← links)
- Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching (Q4614935) (← links)
- HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH (Q4631691) (← links)
- On break-even correlation: the way to price structured credit derivatives by replication (Q4683100) (← links)
- AN URN MODEL FOR CASCADING FAILURES ON A LATTICE (Q4902487) (← links)
- Portfolio credit risk with predetermined default orders (Q5001115) (← links)
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (Q5086640) (← links)
- Basket CDS pricing with default intensities using a regime-switching shot-noise model (Q5154090) (← links)
- Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk (Q5407022) (← links)
- Optimal Investment Under Information Driven Contagious Distress (Q5737638) (← links)
- An extension of Davis and Lo's contagion model (Q5746773) (← links)
- Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach (Q6193111) (← links)
