Pages that link to "Item:Q2970318"
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The following pages link to A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318):
Displaying 23 items.
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- Modeling of contagious credit events and risk analysis of credit portfolios (Q431916) (← links)
- Credit risk and contagion via self-exciting default intensity (Q902175) (← links)
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
- Correlated risks vs contagion in stochastic transition models (Q1994154) (← links)
- A Markov modulated dynamic contagion process with application to credit risk (Q2000733) (← links)
- Financial contagion through space-time point processes (Q2059116) (← links)
- Cluster point processes and Poisson thinning INARMA (Q2121089) (← links)
- A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' (Q2195929) (← links)
- Contagion modeling between the financial and insurance markets with time changed processes (Q2397853) (← links)
- Time-consistent evaluation of credit risk with contagion (Q2667125) (← links)
- Transform analysis for point processes and applications in credit risk (Q2851562) (← links)
- A dynamic contagion process (Q3173006) (← links)
- Testing the causality of Hawkes processes with time reversal (Q4964526) (← links)
- Clustering Effects via Hawkes Processes (Q5132613) (← links)
- INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES (Q5148006) (← links)
- Credit Contagion in a Long Range Dependent Macroeconomic Factor Model (Q5198557) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- (Q5499379) (← links)
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives (Q6044248) (← links)
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model (Q6099190) (← links)
- Credit risk contagion and optimal dual control -- an SIS/R model (Q6104739) (← links)
- A contagion process with self-exciting jumps in credit risk applications (Q6104946) (← links)