A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries-Reference-Cited by-同舟云学术

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A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Published:2014-03-17 Issue:7 Volume:43 Page:1362-1389
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Bielecki Tomasz R.,Cousin Areski,Crépey Stéphane,Herbertsson Alexander

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/03610926.2013.844251

Reference28 articles.

1. Extensions to the Gaussian copula: random recovery and random factor loadings

2. On approximation of functions by exponential sums

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2. Correlation Analysis and Optimal Portfolio in UK and US Stock Markets- Based on Copula-VaR Function;BCP Business & Management;2023-03-02

3. Saddlepoint Approximations for Credit Portfolios With Stochastic Recoveries;SSRN Electronic Journal;2022

4. Structured Dependence between Stochastic Processes;ENCYCLOP MATH APPL;2020-08-31

5. Subject Index;Structured Dependence between Stochastic Processes;2020-08-31

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