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  • Search: subject:"Markov copula model"
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Subject
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Common Shocks 2 Markov Copula Model 2 Portfolio Credit Risk 2 Basket Credit Derivatives 1 Dynamic Min-Variance Hedging 1 Random Recoveries 1 Stochastic Spreads 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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Undetermined 2
Author
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Herbertsson, Alexander 2 Bielecki, T.R. 1 Bielecki, Tomasz R. 1 Cousin, A. 1 Cousin, Areski 1 Crépey, S. 1 Crépey, Stéphane 1
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Institution
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Nationalekonomiska institutionen, Handelshögskolan 2
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Working Papers in Economics 2
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RePEc 2
Showing 1 - 2 of 2
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A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Bielecki, T.R.; Cousin, A.; Crépey, S.; Herbertsson, … - Nationalekonomiska institutionen, Handelshögskolan - 2012
In [4], the authors introduced a Markov copula model of portfolio credit risk. This model solves the top-down versus …
Persistent link: https://www.econbiz.de/10011019095
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Cover Image
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - Nationalekonomiska institutionen, Handelshögskolan - 2011
We consider a bottom-up Markovian copula model of portfolio credit risk where dependence among credit names mainly stems from the possibility of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately...
Persistent link: https://www.econbiz.de/10011019100
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