Multiname and multiscale default modeling
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Multiple scale methods for ordinary differential equations (34E13) Ordinary differential equations and systems with randomness (34F05) Gaussian processes (60G15) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Recommendations
- Multiscale Intensity Models for Single Name Credit Derivatives
- Multi-scale time-changed birth processes for pricing multi-name credit derivatives
- Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
- A multivariate default model with spread and event risk
- Multiple ratings model of defaultable term structure.
Cited in
(12)- Dependent defaults and losses with factor copula models
- Pricing vulnerable options under a stochastic volatility model
- Multiscale analysis on the pricing of intensity-based defaultable bonds
- Temporal correlation of defaults in subprime securitization
- Time-changed birth processes and multiname credit derivatives
- Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
- Fluctuation analysis for the loss from default
- A multivariate default model with spread and event risk
- Graphical models for correlated defaults
- Network model for joined default probabilities
- Utility valuation of multi-name credit derivatives and application to CDOs
- Multi-scale time-changed birth processes for pricing multi-name credit derivatives
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