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The gentle proposal : a model of applied defoult probabilities and GARCH volatility
Corelli, Angelo - In: Journal of risk management in financial institutions 4 (2010/11) 1, pp. 46-56
Persistent link: https://www.econbiz.de/10008905799
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Estimation of a Cox process for credit spreads with semi-stochastic intensity
Corelli, Angelo - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 515-519
Persistent link: https://www.econbiz.de/10008778685
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A Kalman-filtered model of credit spreads
Corelli, Angelo - In: Journal of risk management in financial institutions 4 (2010/11) 2, pp. 180-188
Persistent link: https://www.econbiz.de/10009154315