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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