Evaluation of Tranche in Securitization and Long-range Ising Model
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- Jordi Molins & Eduard Vives, 2004. "Long range Ising model for credit risk modeling in homogeneous portfolios," Papers cond-mat/0401378, arXiv.org.
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Cited by:
- I. Onur Filiz & Xin Guo & Jason Morton & Bernd Sturmfels, 2008. "Graphical models for correlated defaults," Papers 0809.1393, arXiv.org.
- Wu, Binghui, 2018. "Asset securitization and rate of return: A study on letters of guarantee," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1551-1554.
- Kato, Kensuke, 2016. "Long-range Ising model for credit portfolios with heterogeneous credit exposures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1103-1119.
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