Credit risk model with contagious default dependencies affected by macro-economic condition

DOI10.1016/J.EJOR.2011.05.001MaRDI QIDQ2275829zbMATH OpenOpenAlexFDO

Authors Hideyuki Takada, Ushio Sumita

Publication date 10 August 2011

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://tsukuba.repo.nii.ac.jp/record/24972/files/EJOR_214-2.pdf

zbMATH Keywords

financepricingrisk analysissystems dynamics

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) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• Basket CDS pricing with interacting intensities
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Common failings: how corporate defaults are correlated
• Markov chain models - rarity and exponentiality
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
• Time-changed birth processes and multiname credit derivatives

Cited in

(14)

• A set-valued Markov chain approach to credit default
• Modelling default contagion using multivariate phase-type distributions
• Macroeconomic environment, money demand and portfolio choice
• Effects of economic interactions on credit risk
• Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
• Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework
• On infectious model for dependent defaults
• A nonlinear dynamic model for credit risk contagion
• Credit contagion and aggregate losses
• Stability analysis and fixed-time control of credit risk contagion
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Optimal dividend strategy for an insurance group with contagious default risk
• Aggregating sectors in the infectious defaults model
• Credit Contagion in a Structural Framework

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