A simple top-down approach for pricing portfolio credit derivatives
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Publication:2859944
zbMATH Open1289.91163MaRDI QIDQ2859944FDOQ2859944
Authors: Jianping Fu 
Publication date: 19 November 2013
Published in: Acta Scientiarum Naturalium Universitatis Nankaiensis (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of branching processes (60J85) Portfolio theory (91G10) Credit risk (91G40)
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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