Stochastic Evolution Equations in Portfolio Credit Modelling
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the asset values. This density evolves according to a stochastic...
| Prif Awduron: | , , , , |
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| Fformat: | Journal article |
| Iaith: | English |
| Cyhoeddwyd: |
2011
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