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Interacting path systems for credit portfolio risk analysis

Pierre del Moral 1, 2 Frédéric Patras 3 
1 ALEA - Advanced Learning Evolutionary Algorithms
Inria Bordeaux - Sud-Ouest, UB - Université de Bordeaux, CNRS - Centre National de la Recherche Scientifique : UMR5251
2 IMB - Institut de Mathématiques de Bordeaux
3 JAD - Laboratoire Jean Alexandre Dieudonné
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https://hal.inria.fr/inria-00537891
Contributor : Pierre Del Moral Connect in order to contact the contributor
Submitted on : Friday, November 19, 2010 - 4:02:54 PM
Last modification on : Thursday, August 4, 2022 - 5:05:32 PM

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  • HAL Id : inria-00537891, version 1

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CNRS | INRIA | IMB | INSMI | DIEUDONNE | INRIA2 | UNIV-COTEDAZUR

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Pierre del Moral, Frédéric Patras. Interacting path systems for credit portfolio risk analysis. D. Brigo, T. Bielecki, F. Patras. Recent advancements in the theory and practice of credit derivatives, Bloomberg Press, 2010. ⟨inria-00537891⟩

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