Estimation of correlations in portfolio credit risk models based on noisy security prices

Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy

doi:10.1016/j.jedc.2015.10.001

Bibliographie complète

Estimation of correlations in portfolio credit risk models based on noisy security prices

Type de ressource

Auteurs/contributeurs

Titre

Estimation of correlations in portfolio credit risk models based on noisy security prices

Publication

Journal of Economic Dynamics and Control

Volume

61

Pages

334-349

Date

12/2015

Abrév. de revue

Journal of Economic Dynamics and Control

Langue

en

DOI

10.1016/j.jedc.2015.10.001

ISSN

01651889

URL

https://linkinghub.elsevier.com/retrieve/pii/S0165188915001906

Consulté le

23/10/2024 18:32

Catalogue de bibl.

DOI.org (Crossref)

Référence

Boudreault, M., Gauthier, G., & Thomassin, T. (2015). Estimation of correlations in portfolio credit risk models based on noisy security prices. Journal of Economic Dynamics and Control, 61, 334–349. https://doi.org/10.1016/j.jedc.2015.10.001

Auteur·e·s

Boudreault, Mathieu

Lien vers cette notice

https://bibliographies.uqam.ca/escer/bibliographie/JDKS742W