A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling

International Journal of Theoretical and Applied Finance

Volumn 13, Issue 8, 2010, Pages 1223-1240

  Cirillo, Pasquale ^a   Hüsler, Jürg ^a   Muliere, Pietro ^b  

^a UNIVERSITY OF BERN   (Switzerland)

^b BOCCONI UNIVERSITY   (Italy)

Author keywords

Credit risk; Failing system; Firms' defaults; Neutral to the right processes; Urn model

Indexed keywords

EID: 78650526989     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024910006170     Document Type: Article

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