Saddlepoint Approximations for Credit Portfolios With Stochastic Recoveries
Year of publication: |
[2022]
|
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Authors: | Herbertsson, Alexander |
Publisher: |
[S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (68 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 28, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4175375 [DOI] |
Classification: | G33 - Bankruptcy; Liquidation ; G13 - Contingent Pricing; Futures Pricing ; C02 - Mathematical Methods ; C63 - Computational Techniques ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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