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Search: subject:"Default indicator"
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Default indicator
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Absolutely continuous compensators
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Azéma supermartingale
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Calibration
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Credit risk
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Dependence modelling
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Estimation
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Kreditrisiko
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Kushner–Stratonovich equation
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Latent factors
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Loss occurrence
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Modellierung
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Nonlinear filtering
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Pricing of default risk
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Denuit, Michel
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Çetin, Umut
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Insurance
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Stochastic Processes and their Applications
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ECONIS (ZBW)
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Max-factor individual risk models with application to credit portfolios
Denuit, Michel
;
Kiriliouk, Anna
;
Segers, Johan
- In:
Insurance
62
(
2015
),
pp. 162-172
Persistent link: https://www.econbiz.de/10011312076
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2
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Çetin, Umut
- In:
Stochastic Processes and their Applications
122
(
2012
)
11
,
pp. 3619-3647
class of semimartingales onto the filtration generated by the observation process and the
default
indicator
process …
Persistent link: https://www.econbiz.de/10011064986
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