A simple top-down approach for pricing portfolio credit derivatives

MaRDI QIDQ2859944zbMATH OpenFDO

Authors Jianping Fu

Publication date 19 November 2013

Published in Acta Scientiarum Naturalium Universitatis Nankaiensis (Search for Journal in Brave)

zbMATH Keywords

branching processpricing modeldefault contagion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of branching processes (60J85) Portfolio theory (91G10) Credit risk (91G40)

Recommendations

• Portfolio credit risk with predetermined default orders
• Up and down credit risk
• Pricing and hedging of CDOs: a top down approach
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
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Cited in

(5)

• Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
• Portfolio credit risk with predetermined default orders
• Pricing credit from the top down with affine point processes
• Up and down credit risk
• Background filtrations and canonical loss processes for top-down models of portfolio credit risk

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