Affine Point Processes and Portfolio Credit Risk (Q3055867)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Affine Point Processes and Portfolio Credit Risk |
scientific article |
Statements
Affine Point Processes and Portfolio Credit Risk (English)
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10 November 2010
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self-exciting point process
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affine jump diffusion
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Hawkes process
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correlated default
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portfolio credit derivative
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index and tranche swap
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