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~institution:"Centre for Analytical Finance <Århus>"
~institution:"Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse"
~person:"Giesecke, Kay"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
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Giesecke, Kay
Küchler, Uwe
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Barndorff-Nielsen, Ole E.
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Föllmer, Hans
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Centre for Analytical Finance <Århus>
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Credit contagion and aggregate losses
Giesecke, Kay
;
Weber, Stefan
-
2002
theory
of interacting particle systems. We clarify the structure of the equilibrium joint rating distribution using ergodic … losses ; voter model ; Choquet
theory
; ergodic decomposition ; re-scaling …
Persistent link: https://www.econbiz.de/10009627288
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