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

Philippe Ehlers () and Philipp Schönbucher
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Philippe Ehlers: http://www.math.ethz.ch/~ehlers

Finance and Stochastics, 2009, vol. 13, issue 1, 79-103

Keywords: Credit risk; Default correlation; Point processes; Generalized Cox processes; Hypothesis ℍ; G13; 60G35; 91B28; 91B30 (search for similar items in EconPapers)
Date: 2009
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Working Paper: Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk (2007)
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DOI: 10.1007/s00780-008-0080-x

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