Abstract
As was discussed in the previous chapter, the traditional default and prepayment models have limited possibilities to capture the stochastic nature of the phenomena they are set to model. In the present chapter, we propose a number of models that incorporate the stylized features of defaults and prepayments.
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Campolongo, F., Jönsson, H., Schoutens, W. (2013). Stochastic Models. In: Quantitative Assessment of Securitisation Deals. SpringerBriefs in Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-29721-2_4
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DOI: https://doi.org/10.1007/978-3-642-29721-2_4
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