A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Tomasz R. Bielecki; Areski Cousin; Stéphane Crépey; Alexander Herbertsson
| Year of publication: |
2014
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|---|---|
| Authors: | Bielecki, Tomasz R. ; Cousin, Areski ; Crépey, Stéphane ; Herbertsson, Alexander |
| Published in: |
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012. - Singapore [u.a.] : World Scientific Publ., ISBN 981-4571-63-6. - 2014, p. 25-49
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| Subject: | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Multivariate Verteilung | Multivariate distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010359909