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AMS Classification 60G35
"Signal detection and filtering"

These are all the papers that have the " 60G35 " classification. Note that not all authors/journals assign MSC codes.     (sorted by date)

Structural Credit Risk using Time-changed Brownian Motions: A tale of two models
by Tom R. Hurd of McMaster University, and
Zhuowei Zhou of McMaster University
(848K PDF) -- 23 pages -- September 13, 2011

Conditional Default Probability and Density
by Nicole El Karoui of the Centre de Mathématiques Appliquées,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Ying Jiao of the Université Paris 7, and
Behnaz Zargari of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne
(194K PDF) -- 18 pages -- January 6, 2011

Credit Dynamics in a First Passage Time Model with Jumps
by Natalie Packham of the Frankfurt School of Finance & Management,
Lutz Schlögl of Nomura International Plc, and
Wolfgang M. Schmidt of the Frankfurt School of Finance & Management
(564K PDF) -- 34 pages -- September 2009

CDO Tranche Sensitivities in the Gaussian Copula Model
by Chao Meng of Louisiana State University, and
Ambar Sengupta of Louisiana State University
(251K PDF) -- 17 pages -- September 2009

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(536K PDF) -- 25 pages -- January 2009

Valuation of Default-sensitive Claims under Imperfect Information
by Delia Coculescu of ETH Zürich,
Hélyette Geman of Birkbeck University & ESSEC, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance
(791K PDF) -- 24 page -- April 2008

Pricing and Trading Credit Default Swaps in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of Évry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(378K PDF) -- 37 pages -- January 2008


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