Background filtrations and canonical loss processes for top-down models of portfolio credit risk

Finance and Stochastics

Volumn 13, Issue 1, 2009, Pages 79-103

  Ehlers, Philippe ^a   Schönbucher, Philipp J ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Credit risk; Default correlation; Generalized Cox processes; Hypothesis ; Point processes

Indexed keywords

EID: 57049160893     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-008-0080-x     Document Type: Article

References (25)

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