A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654)
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scientific article; zbMATH DE number 6302704
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries |
scientific article; zbMATH DE number 6302704 |
Statements
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (English)
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11 June 2014
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common shocks
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Markov copula model
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portfolio credit risk
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random recoveries
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stochastic spreads
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