Authors: Holger Kraft, Mogens Steffensen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.econ.ku.dk/FRU/WorkingPapers/PDF/2006/2006_03.pdf.
Subject Terms: default risk, financial distress, default correlation, con- tagion, Markov chains. JEL-Classification, G13
File Description: application/pdf
Authors: Holger Kraft, Mogens Steffensen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.econ.ku.dk/fru/wp/archive/2005_07.pdf.
Subject Terms: portfolio optimization, stochastic interest rates, default risk, recovery risk, beta distribution, joint default factor
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.643.8739; http://www.econ.ku.dk/fru/wp/archive/2005_07.pdf
Availability: http://www.econ.ku.dk/fru/wp/archive/2005_07.pdf
Authors: Holger Kraft, Mogens Steffensen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.econ.ku.dk/FRU/WorkingPapers/PDF/2005/2005_07.pdf.
Subject Terms: portfolio optimization, stochastic interest rates, default risk, recovery risk, beta distribution, joint default factor
File Description: application/pdf
Authors: Holger Kraft, Mogens Steffensen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.math.ku.dk/english/research/msmie/wops/204.pdf.
Subject Terms: portfolio optimization, stochastic interest rates, default risk, recovery risk, beta distribution, joint default factor
File Description: application/pdf