Credit risk analysis of mortgage loans: An application to the Italian market
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Publication:704063
DOI10.1016/j.ejor.2003.12.007zbMath1067.90105OpenAlexW3122117847MaRDI QIDQ704063
Publication date: 12 January 2005
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.007
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Cites Work
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- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Default risk and derivative products
- Analytical value-at-risk with jumps and credit risk
- Estimation of affine asset pricing models using the empirical characteristic function
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