Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss

By A. Lopatin, T. Misirpashaev. 2008

55 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3db691dd95c2ccbc93318b7ec7519b9f2ffd09c6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. St'ephane Cr'epey
2. Tomasz R. Bielecki
3. Monique Jeanblanc
4. Igor Halperin
5. M. Arnsdorf
6. Damiano Brigo
7. Marek Rutkowski
8. Huyen Pham

Citations in the corpus

• Up and down credit risk (2010, background): “Examples are Bennani [2], Schönbucher [46], Sidenius, Piterbarg and Andersen [47], Arnsdorf and Halperin [1], Lopatin and Misirpashaev [43] or Ehlers and Schönbucher [20].”
• Affine Point Processes and Portfolio Credit Risk (2010, unknown): “Lopatin and Misirpashaev [29] introduce a point process model with an intensity whose drift is modulated by the portfolio loss.”
• BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives (2008, methodology): “This can be compared with the formalism suggested by Lopatin and Misirpashaev (LM) [11].”