搜索结果: 1-2 共查到“国际投资学 credit”相关记录2条 . 查询时间(0.046 秒)
Stochastic evolution equations in portfolio credit modelling
credit risky assets large portfolio numerical methods
2011/3/30
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 ...
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Heterogeneous credit portfolios dynamics aggregate losses
2010/12/20
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that make...