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Modeling and valuation of credit risk
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004
Persistent link: https://www.econbiz.de/10002526431
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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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Government policies, residential mortgage defaults, and the boom and bust cycle of housing prices
Ascheberg, Marius; Jarrow, Robert A.; Kraft, Holger; … - In: Essays on empirical asset pricing, dynamic asset …, (pp. 183-216). 2013
Persistent link: https://www.econbiz.de/10010412565
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Valuation of basket credit derivatives in the credit migrations environment
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008
Persistent link: https://www.econbiz.de/10003567710
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Markov chain models of portfolio credit risk
Bielecki, Tomasz R. - In: The Oxford handbook of credit derivatives, (pp. 327-382). 2011
Persistent link: https://www.econbiz.de/10014565537