PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL

DOI10.1142/S0219024907004408zbMath1291.91223WikidataQ126235656 ScholiaQ126235656MaRDI QIDQ5169987

Youssef Elouerkhaoui

Publication date: 17 July 2014

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

zbMATH Keywords

marked point processdynamic hedgingcommon Poisson shockstop-down approachMarshall-Olkin modeldynamic copulaasymptotic series expansionmarket incompletenessquadratic risk minimizationFöllmer-Sondermann approachforward skew

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items

State dependent correlations in the Vasicek default model, BIVARIATE MARSHALL–OLKIN EXPONENTIAL SHOCK MODEL, XVA metrics for CCP optimization, Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities, Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence, A Marshall-Olkin type multivariate model with underlying dependent shocks, A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence, Dynamic hedging of portfolio credit risk in a Markov copula model, A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries, XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS, Up and down credit risk, Stochastic approximation schemes for economic capital and risk margin computations, SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL, Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk, Exogenous shock models: analytical characterization and probabilistic construction, XVA analysis from the balance sheet, A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution

Cites Work

• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Analytical value-at-risk with jumps and credit risk