Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

LARGE PORTFOLIO CREDIT RISK MODELING

10 references·2 citing·49 second hop

FromToDepth

this work references cited by second hop

References

2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues468 cited
1970Multiple channel queues in heavy traffic. I438 cited
1998Strong approximations for Markovian service networks254 cited
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS201 cited
2007Credit rating dynamics and Markov mixture models140 cited
2004Confidence sets for continuous-time rating transition probabilities136 cited
2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS128 cited
1971Multiple channel queues in heavy traffic125 cited
2005Analysis of default data using hidden Markov models64 cited
1997Fluid and diffusion limits for queues in slowly changing environments47 cited

Cited by

2007Pricing portfolio credit derivatives20 cited
2011Default Clustering in Large Portfolios: Typical Events17 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work