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
• Common failings: how corporate defaults are correlated
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• 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

(15)

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

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