BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Matthias Arnsdorf; Igor Halperin
| Year of publication: |
2008/09
|
|---|---|
| Authors: | Arnsdorf, Matthias ; Halperin, Igor |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 12.2008/09, 2, p. 77-107
|
| Subject: | Portfolio-Management | Portfolio selection | Derivat | Derivative | Markov-Kette | Markov chain | Theorie | Theory | Kreditrisiko | Credit risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009534630