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

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A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

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

Publisher

Elsevier BV

Reference23 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. On approximation of functions by exponential sums;G Beylkin;Applied and Computational Harmonic Analysis,2005

4. Dynamic Hedging of Portfolio Credit Risk in a;T R Bielecki;Markov Copula Model . Forthcoming in Journal of Optimization Theory and Applications

Cited by 4 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. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model;Journal of Optimization Theory and Applications;2013-05-15

2. Simulation/Regression Pricing Schemes for CVAa Computations on CDO Tranches;SSRN Electronic Journal;2013

3. A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues;SSRN Electronic Journal;2013

4. Dynamic Modeling of Portfolio Credit Risk with Common Shocks;SSRN Electronic Journal;2011

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