Browsing by Author "Crépey, Stéphane"
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A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander (2012-10)In [4], the authors introduced a Markov copula model of portfolio credit risk. This model solves the top-down versus bottom-up puzzle in achieving efficient joint calibration to single-name CDS and to multi-name CDO ...