Calibration of the default probability model

DOI10.1016/J.EJOR.2004.11.029MaRDI QIDQ2464231zbMATH OpenOpenAlexFDO

Authors Alexander Kreinin, Ahmed Nagi

Publication date 10 December 2007

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

Full work available at URL https://doi.org/10.1016/j.ejor.2004.11.029

zbMATH Keywords

calibrationcredit riskdefault probabilityMerton-Vasicek model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cited in

(8)

• Deep calibration of financial models: turning theory into practice
• Analytical methods for hedging systematic credit risk with linear factor portfolios
• Default probability estimation via pair copula constructions
• Old problems, classical methods, new solutions
• scientific article; zbMATH DE number 5280213 (Why is no real title available?)
• From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
• CDS calibration under an extended JDCEV model
• Enhancing credit default swap valuation with meshfree methods

Describes a project that uses

Uses Software

• BRENT
• CreditRisk+

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