Aggregating sectors in the infectious defaults model

DOI10.1088/1469-7688/4/1/006zbMath1405.91668OpenAlexW2044116847MaRDI QIDQ4647597

Ola Hammarlid

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/006

zbMATH Keywords

portfoliocredit riskinfectious defaults model

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Credit risk: Modelling, valuation and hedging

This page was built for publication: Aggregating sectors in the infectious defaults model