AN INFINITE FACTOR MODEL FOR CREDIT RISK
Year of publication: |
2006
|
---|---|
Authors: | SCHMIDT, THORSTEN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 01, p. 43-68
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit risk | forward rates | SDE on Hilbert spaces | infinite dimensional models | ratings | random fields |
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