Credit Risk Modeling

Author:

Bielecki Tomasz R.

Publisher

Springer International Publishing

Reference6 articles.

1. Bielecki TR, Rutkowski M (2004) Credit risk: modeling, valuation and hedging. Springer, Berlin

2. Bielecki TR, Brigo D, Patras F (eds) (2011) Credit risk frontiers: subprime crisis, pricing and hedging, CVA, MBS, ratings and liquidity. Wiley, Hoboken

3. Bielecki TR, Jakubowski J, Niewȩgłowski M (2013) Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and Markov copulae. Electron J Probab 18(45):1–21

4. Bluhm Ch, Overbeck L, Wagner Ch (2010) An introduction to credit risk modeling. Chapman & Hall, Boca Raton

5. El Karoui N, Jeanblanc M, Jiao Y (2010) What happens after a default: the conditional density approach. SPA 120(7):1011–1032

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