A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues
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Elsevier BV
Reference19 articles.
1. Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings;L Andersen;Journal of Credit Risk,2004
2. CVA computation for counterparty risk assessment in credit portfolios;S Assefa;Credit Risk Frontiers,2011
3. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model;T R Bielecki;Forthcoming in Journal of Optimization Theory and Applications
4. A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective
5. A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries;T R Bielecki;Preparation
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Exogenous shock models: analytical characterization and probabilistic construction;Metrika;2019-05-02
2. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model;Journal of Optimization Theory and Applications;2013-05-15
3. Dynamic Modeling of Portfolio Credit Risk with Common Shocks;SSRN Electronic Journal;2011
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