Background filtrations and canonical loss processes for top-down models of portfolio credit risk
| Year of publication: |
2009
|
|---|---|
| Authors: | Ehlers, Philippe ; Schönbucher, Philipp |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 1, p. 79-103
|
| Publisher: |
Springer |
| Subject: | Credit risk | Default correlation | Point processes | Generalized Cox processes | Hypothesis ℍ |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005390662