Pages that link to "Item:Q2247917"

The following pages link to Dynamic hedging of portfolio credit risk in a Markov copula model (Q2247917):

Displaying 12 items.

• Counterparty risk and funding: immersion and beyond (Q331358) (← links)
• Conditional Markov chains: properties, construction and structured dependence (Q516008) (← links)
• Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models (Q1733754) (← links)
• Analytical methods for hedging systematic credit risk with linear factor portfolios (Q2271605) (← links)
• Hedging default risks of CDOs in Markovian contagion models (Q2866390) (← links)
• The Markov consistency of Archimedean survival processes (Q3188571) (← links)
• SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL (Q3643588) (← links)
• Portfolio credit risk with predetermined default orders (Q5001115) (← links)
• Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk (Q5233178) (← links)
• Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks (Q6489108) (← links)
• A default system with overspilling contagion (Q6549692) (← links)
• Pricing CDS index tranches under thinning-dependence structure with regime switching (Q6582033) (← links)