Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Year of publication: |
2009
|
---|---|
Authors: | Ehlers, Philippe ; Schönbucher, Philipp J. |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 13.2009, 1, p. 79-103
|
Subject: | Kapitaleinkommen | Capital income | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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