Pages that link to "Item:Q5422627"

The following pages link to CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS (Q5422627):

Displaying 38 items.

• Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law (Q277273) (← links)
• A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
• Nonexistence of Markovian time dynamics for graphical models of correlated default (Q415636) (← links)
• The law of large numbers for self-exciting correlated defaults (Q436290) (← links)
• Pricing options with credit risk in a reduced form model (Q457616) (← links)
• A mathematical treatment of bank monitoring incentives (Q471170) (← links)
• Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
• Modelling default contagion using multivariate phase-type distributions (Q539143) (← links)
• The intensity model for pricing credit securities with jump diffusion and counterparty risk (Q541467) (← links)
• Credit risky securities valuation under a contagion model with interacting intensities (Q642743) (← links)
• Correlated intensity, counter party risks, and dependent mortalities (Q661258) (← links)
• The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay (Q828046) (← links)
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity (Q836966) (← links)
• Basket CDS pricing with interacting intensities (Q964685) (← links)
• Asset allocation with contagion and explicit bankruptcy procedures (Q999740) (← links)
• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065) (← links)
• Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models (Q1733754) (← links)
• Optimal decisions for sellers considering valuation bias and strategic consumer reactions (Q1751853) (← links)
• A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114) (← links)
• Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model (Q1934584) (← links)
• On correlated defaults and incomplete information (Q2031381) (← links)
• Basket credit derivative pricing in a Markov chain model with interacting intensities (Q2209220) (← links)
• A contagion model with Markov regime-switching intensities (Q2258911) (← links)
• Credit risk model with contagious default dependencies affected by macro-economic condition (Q2275829) (← links)
• Modelling cascading effects for systemic risk: properties of the Freund copula (Q2283659) (← links)
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699) (← links)
• On a reduced form credit risk model with common shock and regime switching (Q2447411) (← links)
• Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497) (← links)
• OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK (Q2831003) (← links)
• Hedging default risks of CDOs in Markovian contagion models (Q2866390) (← links)
• ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT (Q2892981) (← links)
• Dependence properties of dynamic credit risk models (Q2909818) (← links)
• THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL (Q2998844) (← links)
• NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS (Q3100747) (← links)
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (Q3168859) (← links)
• Reducing Bias in Event Time Simulations via Measure Changes (Q5085125) (← links)
• Credit portfolio selection with decaying contagion intensities (Q5743120) (← links)
• Pricing European options under stochastic looping contagion risk model (Q6179935) (← links)