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Carmona, René; Diko, Pavel - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 959-988

Persistent link: https://www.econbiz.de/10003206788

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

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

Defaultable options in a Markovian intensity model of credit risk

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518

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Markov Chain Models of Portfolio Credit Risk

Bielelcki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives. 2012

Persistent link: https://www.econbiz.de/10012882005

A Bottom-Up Dynamic Model of Portfolio Credit Risk; Part I : Markov Copula Perspective

Bielecki, Tomasz R. - 2013

We consider a bottom-up Markovian copula model of {portfolio} credit risk where instantaneous contagion is possible in the form of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately using a...

Persistent link: https://www.econbiz.de/10013093440

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