Abstract
Enlarging the economic state-variables’ filtration by observing the default process of all available credits has some profound implications on the dynamics of intensities.
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Elouerkhaoui, Y. (2017). Copulas and Conditional Jump Diffusions. In: Credit Correlation. Applied Quantitative Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-60973-7_4
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DOI: https://doi.org/10.1007/978-3-319-60973-7_4
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