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- W2005456695 abstract "A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is proposed using a newly-introduced quadrature algorithm. Accurate calibration to iTraxx tranche spreads is demonstrated." @default.
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- W2005456695 date "2007-06-01" @default.
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- W2005456695 title "LARGE PORTFOLIO CREDIT RISK MODELING" @default.
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- W2005456695 doi "https://doi.org/10.1142/s0219024907004378" @default.
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