The Law of Large Numbers for self-exciting correlated defaults-Reference-Cited by-同舟云学术

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The Law of Large Numbers for self-exciting correlated defaults

Published:2012-08 Issue:8 Volume:122 Page:2781-2810
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Cvitanić Jakša,Ma Jin,Zhang Jianfeng

Funder

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference22 articles.

1. Credit Risk: Modeling, Valuation and Hedging;Bielecki,2002

2. P. Collin-Dufresne, R. Goldstein, J. Helwege, Is credit event risk priced? Modeling contagion via updating of beliefs, Working Paper, Univ. California Berkeley, 2003.

3. A general formula for valuing defaultable securities;Collin-Dufresne;Econometrica,2004

4. Large portfolio losses: a dynamic contagion model;Dai Pra;The Annals of Applied Probability,2009

5. Infectious default;Davis;Quantitative Finance,2001

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2. Preventing COVID-19 Fatalities: State versus Federal Policies;2020-11-03

3. Fast mean-reversion asymptotics for large portfolios of stochastic volatility models;Finance and Stochastics;2020-05-08

4. Preventing COVID-19 Fatalities: State versus Federal Policies;SSRN Electronic Journal;2020

5. Network Effects in Default Clustering for Large Systems;Applied Mathematical Finance;2019-11-02

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