Yu, Fan Correlated defaults in intensity-based models. (English) Zbl 1186.91237 Math. Finance 17, No. 2, 155-173 (2007). MSC: 91G70 62P05 62H20 91G20 PDFBibTeX XMLCite \textit{F. Yu}, Math. Finance 17, No. 2, 155--173 (2007; Zbl 1186.91237) Full Text: DOI
Jarrow, Robert A.; Lando, David; Yu, Fan Default risk and diversification: theory and empirical implications. (English) Zbl 1109.91036 Math. Finance 15, No. 1, 1-26 (2005). MSC: 91B30 PDFBibTeX XMLCite \textit{R. A. Jarrow} et al., Math. Finance 15, No. 1, 1--26 (2005; Zbl 1109.91036) Full Text: DOI