Correlated Poisson Processes and Their Applications in Financial Modeling-Reference-Cited by-同舟云学术

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Correlated Poisson Processes and Their Applications in Financial Modeling

Published:2016-04-29 Issue: Volume: Page:191-232
ISSN:
Container-title:Financial Signal Processing and Machine Learning
language:
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Author:

Kreinin Alexander

Publisher

John Wiley & Sons, Ltd

Reference50 articles.

1. LDA at work: Deutsche Banks approach to quantify operational risk;Aue;Journal of Operational Risk,2006

2. Distance to default;Avellaneda;Risk,2001

3. Modeling correlated frequencies with applications in operational risk management;Badescu;Journal of Operational Risk,2015

4. Bae , T. 2012 A model for two-way dependent operational losses

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1. Backward simulation of multivariate mixed Poisson processes;Journal of Statistical Computation and Simulation;2021-07-01

2. Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events;Applied Stochastic Models in Business and Industry;2018-07-12

3. Correlated multivariate Poisson processes and extreme measures;Model Assisted Statistics and Applications;2017-12-07

4. A backward construction and simulation of correlated Poisson processes;Journal of Statistical Computation and Simulation;2017-01-08

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