Comparison results for exchangeable credit risk portfolios-Reference-Cited by-同舟云学术

Comparison results for exchangeable credit risk portfolios

Published:2008-06 Issue:3 Volume:42 Page:1118-1127
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Cousin Areski,Laurent Jean-Paul

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference30 articles.

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4. Consistent risk measures for portfolio vectors;Burgert;Insurance: Mathematics and Economics,2006

5. Burtschell, X., Gregory, J., Laurent, J.-P., 2005. A comparative analysis of CDO pricing models, working Paper, ISFA Actuarial School, University of Lyon and BNP-Paribas

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