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  • Search: subject:"Multivariate default model"
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CDO pricing 2 Corporate bond 1 Credit derivative 1 Credit risk 1 Cuadras-Augé copula 1 Derivat 1 Derivative 1 Insolvency 1 Insolvenz 1 Kreditderivat 1 Kreditrisiko 1 Lévy subordinator 1 Multivariate Verteilung 1 Multivariate default model 1 Multivariate distribution 1 Risikoprämie 1 Risk premium 1 Unternehmensanleihe 1 Volatility 1 Volatilität 1 Yield curve 1 Zinsstruktur 1 credit spread volatility 1 multivariate default model 1 portfolio-loss process 1 stochastic time-change 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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MAI, JAN-FREDERIK 1 Mai, Jan-Frederik 1 Olivares, Pablo 1 SCHERER, MATTHIAS 1 Schenk, Steffen 1 Scherer, Matthias 1
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Applied mathematical finance 1 International Journal of Theoretical and Applied Finance (IJTAF) 1
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ECONIS (ZBW) 1 RePEc 1
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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
MAI, JAN-FREDERIK; SCHERER, MATTHIAS - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 227-249
A stochastic time-change is applied to introduce dependence to a portfolio of credit-risky assets whose default times are modeled as random variables with arbitrary distribution. The dependence structure of the vector of default times is completely separated from its marginal default...
Persistent link: https://www.econbiz.de/10005000036
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