SZodixStudyAcademic Library

Shelves Open access

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

Credit risk—A structural model with jumps and correlations · Study

ArticleShelves

ArticleCredit risk—A structural model with jumps and correlations

Rudi Schäfer2007

OA

Articlegreen2007

Credit risk—A structural model with jumps and correlations

Rudi Schäfer · Markus Sjölin · Andreas Sundin · Michal Wolanski · Thomas Guhr

25 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Credit Risk and Financial Regulations Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 25 citations exist upstream.

References

1976The arbitrage theory of capital asset pricing 1999Hierarchical structure in financial markets 2001The Theory of Incentives: The Principal-Agent Model 1999Introduction to Econophysics 1997The Complexity of Cooperation: Agent-Based Models of Competition and Collaboration 1999Noise Dressing of Financial Correlation Matrices 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series 2000A comparative analysis of current credit risk models

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2003A new method to estimate the noise in financial correlation matricesarticle · 10 shared references 2005Systematic analysis of group identification in stock marketsarticle · 7 shared references 2009Power mapping with dynamical adjustment for improved portfolio optimizationarticle · 7 shared references 2007Collective behavior of stock price movements in an emerging marketarticle · 6 shared references 2012Correlation and network analysis of global financial indicesarticle · 6 shared references 2007Correlation study of the Athens Stock Exchangearticle · 6 shared references

Details

Year2007

Typearticle

Published2007-04-30

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.physa.2007.04.053

openalex_workW2015009435

Links

Imported from OpenAlex (CC0) — nothing here is generated.