A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

DOI10.1142/S0219024908004762zbMath1211.91246MaRDI QIDQ3521602

Vladimir V. Piterbarg, J. Sidenius, Leif B. G. Andersen

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

portfolio lossdynamic copulaconditional Markov processSPA modeldynamic model of CDOsleveraged super-senioroption on CDO trancheoptions on tranches

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (19)

Doubly Stochastic CDO Term Structures ⋮ Pricing insurance premia: a top down approach ⋮ INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL ⋮ Dynamics of multivariate default system in random environment ⋮ A Multivariate Default Model with Spread and Event Risk ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Invariant cones for jump-diffusions in infinite dimensions ⋮ RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES ⋮ GRAPHICAL MODELS FOR CORRELATED DEFAULTS ⋮ Background filtrations and canonical loss processes for top-down models of portfolio credit risk ⋮ NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs ⋮ Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research ⋮ DYNAMIC CDO TERM STRUCTURE MODELING ⋮ On a Heath-Jarrow-Morton approach for stock options ⋮ Forward equations for option prices in semimartingale models ⋮ TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION ⋮ Calibration of financial models using quasi-Monte Carlo ⋮ Copula dynamics in CDOs ⋮ Portfolio credit risk with predetermined default orders

Cites Work

• An arbitrage theory of the term structure of interest rates
• On the uniqueness of solutions of stochastic differential equations
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Calibrating volatility surfaces via relative-entropy minimization
• Volatility skews and extensions of the Libor market model
• ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH

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