Modeling credit portfolio derivatives, including both a default and a prepayment feature
Article first published online: 12 JUL 2012
Copyright © 2012 John Wiley & Sons, Ltd.
Applied Stochastic Models in Business and Industry
Volume 29, Issue 5, pages 479–495, September/October 2013
How to Cite
Hieber, P. and Scherer, M. (2013), Modeling credit portfolio derivatives, including both a default and a prepayment feature. Appl. Stochastic Models Bus. Ind., 29: 479–495. doi: 10.1002/asmb.1931
- Issue published online: 8 OCT 2013
- Article first published online: 12 JUL 2012
- Manuscript Accepted: 8 MAR 2012
- Manuscript Revised: 23 DEC 2011
- Manuscript Received: 22 JUL 2011
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