A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Author： Bielecki Tomasz R.   Cousin Areski   Crépey Stéphane   Herbertsson Alexander  

Publisher： Taylor & Francis Ltd

ISSN： 0361-0926

Source： Communications in Statistics: Theory and Methods, Vol.43, Iss.7, 2014-04, pp. : 1362-1389

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