B. Acciaio, S. Herzel:
"An affine intensity model for large credit portfolios";
International Journal of Risk Assessment & Management (IJRAM), 14 (2010), 6; 479 - 503.
http://dx.doi.org/10.1504/IJRAM.2010.037086
Project Head Uwe Schmock:
Mathematics of Financial Risk Measurement and Stochastic Dependence