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Stable non-Gaussian models for credit risk management
Martin, Bernhard; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 405-441). 2003
Persistent link: https://www.econbiz.de/10001882167
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Markov chain models of portfolio credit risk
Bielecki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives, (pp. 327-382). 2011
Persistent link: https://www.econbiz.de/10008858174
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A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014
Persistent link: https://www.econbiz.de/10010359906
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A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014
Persistent link: https://www.econbiz.de/10010359909
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Default contagion in large homogeneous portfolios
Herbertsson, Alexander - In: The credit derivatives handbook : global perspectives, …, (pp. 303-334). 2008
Persistent link: https://www.econbiz.de/10003748427
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Markov Chain Models of Portfolio Credit Risk
Bielelcki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives. 2012
Persistent link: https://www.econbiz.de/10012882005
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Portfolio selection in the presence of heavy-tailed asset returns
Doganoglu, Toker; Mittnik, Stefan; Račev, Svetlozar T. - In: Contributions to modern econometrics : from data …, (pp. 51-64). 2002
Persistent link: https://www.econbiz.de/10001905062
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Statistical issues in modeling multivariate stable portfolios
Kozubowski, Tomasz J.; Panorska, Anna K.; Račev, … - In: Handbook of heavy tailed distributions in finance, (pp. 131-167). 2003
Persistent link: https://www.econbiz.de/10001882057
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Asset liability management : a review and some new results in the presence of heavy tails
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003
Persistent link: https://www.econbiz.de/10001882195
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Portfolio choice theory with non-Gaussian distributed returns
Ortobelli, Sergio; Huber, Isabella; Račev, Svetlozar T.; … - In: Handbook of heavy tailed distributions in finance, (pp. 547-594). 2003
Persistent link: https://www.econbiz.de/10001882197