A Temporal Concentration Index for Credit Portfolios with Continuous-Time Markov Default Dynamics

SSRN Electronic Journal 2026 Preprint Open access

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Authors: Juan Jos eacute Mostajo
DOI: 10.2139/ssrn.6159426
Cited by: 0

Fields of Study & Subjects

Credit Risk and Financial Regulations Risk and Portfolio Optimization Financial Risk and Volatility Modeling

Publication details

Journal / source
SSRN Electronic Journal
Publication date
1 January 2026
Document type
Preprint