Search Results - "Ehlers, Philippe"

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  1. 1
    ETTL

    ETTL by Ehlers, Philippe, Schönbucher, Philipp J

    Published in Finance and stochastics (01-01-2009)
    “…In single-obligor default risk modeling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or…”
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  2. 2
    Background filtrations and canonical loss processes for top-down models of portfolio credit risk

    Background filtrations and canonical loss processes for top-down models of portfolio credit risk by Ehlers, Philippe, Schönbucher, Philipp J.

    Published in Finance and stochastics (2009)
    “…In single-obligor default risk modeling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as ℍ -hypothesis or…”
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