Quadratic models for portfolio credit risk with shot-noise effects
Year of publication: |
2005
|
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Authors: | Gaspar, Raquel M. ; Schmidt, Thorsten |
Publisher: |
Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI) |
Subject: | Rentenmarkt | Kreditrisiko | Portfolio-Management | Zinsstrukturtheorie | Credit risk | reduced-form models | CDS | CDO | quadratic term structures | shot-noise |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 503993832 [GVK] hdl:10419/56099 [Handle] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G33 - Bankruptcy; Liquidation |
Source: |
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