Affine Point Processes and Portfolio Credit Risk
From MaRDI portal
Publication:3055867
DOI10.1137/090771272zbMath1200.91296OpenAlexW3121146574MaRDI QIDQ3055867
Lisa R. Goldberg, Kay Giesecke, Eymen Errais
Publication date: 10 November 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/8989f67170e8b5213f9c211440963c18efbc7c6a
Hawkes processcorrelated defaultaffine jump diffusionself-exciting point processportfolio credit derivativeindex and tranche swap
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov processes (60J99) Credit risk (91G40)
Related Items (only showing first 100 items - show all)
Limit theorems for Markovian Hawkes processes with a large initial intensity ⋮ Alpha-CIR model with branching processes in sovereign interest rate modeling ⋮ A general framework for time-changed Markov processes and applications ⋮ A reduced-form model for correlated defaults with regime-switching shot noise intensities ⋮ Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ A dynamic contagion process ⋮ Estimating jump-diffusions using closed-form likelihood expansions ⋮ Modelling social media contagion using Hawkes processes ⋮ Pricing insurance premia: a top down approach ⋮ Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics ⋮ A model for interest rates with clustering effects ⋮ Transform analysis for Hawkes processes with applications in dark pool trading ⋮ Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ Bond and option pricing for interest rate model with clustering effects ⋮ An estimation procedure for the Hawkes process ⋮ Affine Point Processes: Approximation and Efficient Simulation ⋮ Moments for Hawkes processes with gamma decay kernel functions ⋮ Mean-Variance Portfolio Selection in Contagious Markets ⋮ Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data ⋮ Optimal investment of variance-swaps in jump-diffusion market with regime-switching ⋮ Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps ⋮ Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework ⋮ Simulating Risk Contributions of Credit Portfolios ⋮ The Hawkes process with renewal immigration \& its estimation with an EM algorithm ⋮ Pricing and hedging foreign equity options under Hawkes jump-diffusion processes ⋮ A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests ⋮ Infinite-server systems with Hawkes arrivals and Hawkes services ⋮ The Malliavin-Stein method for Hawkes functionals ⋮ An ephemerally self-exciting point process ⋮ Sensitivity analysis for marked Hawkes processes: application to CLO pricing ⋮ Asian options pricing in Hawkes-type jump-diffusion models ⋮ A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling ⋮ Limit theorems for the compensator of Hawkes processes ⋮ Hawkes processes in insurance: risk model, application to empirical data and optimal investment ⋮ Unnamed Item ⋮ A Multivariate Default Model with Spread and Event Risk ⋮ Moderate deviations for marked Hawkes processes ⋮ Matrix calculations for moments of Markov processes ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ Asymptotic results for a class of Markovian self-exciting processes ⋮ Nonlinear Poisson autoregression and nonlinear Hawkes processes ⋮ Propagation of Spiking Moments in Linear Hawkes Networks ⋮ Unnamed Item ⋮ A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK ⋮ Shot-Noise Processes in Finance ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ The microstructural foundations of leverage effect and rough volatility ⋮ Precise deviations for Hawkes processes ⋮ Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data ⋮ Clustering Effects via Hawkes Processes ⋮ Mutual excitation in Eurozone sovereign CDS ⋮ Exchange options under clustered jump dynamics ⋮ Latent self-exciting point process model for spatial-temporal networks ⋮ An elementary derivation of moments of Hawkes processes ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES ⋮ A test for independence between a point process and an analogue signal ⋮ Self-exciting jump processes with applications to energy markets ⋮ Modelling of limit order books by general compound Hawkes processes with implementations ⋮ RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES ⋮ Limit theorems for non-Markovian marked dynamic contagion processes ⋮ Recursive computation of the Hawkes cumulants ⋮ Clustered Lévy processes and their financial applications ⋮ Limit theorems for inverse process \(T_n\) of Hawkes process ⋮ A Markov modulated dynamic contagion process with application to credit risk ⋮ Asymptotics for Hawkes processes with large and small baseline intensities ⋮ Modelling Credit Risk in the Jump Threshold Framework ⋮ Credit portfolio selection with decaying contagion intensities ⋮ A bivariate shot noise self-exciting process for insurance ⋮ Limit theorems for an inverse Markovian Hawkes process ⋮ Market impact as anticipation of the order flow imbalance ⋮ Direct Likelihood Evaluation for the Renewal Hawkes Process ⋮ Pricing power exchange options with Hawkes jump diffusion processes ⋮ Modeling multivariate extreme events using self-exciting point processes ⋮ Pricing default events: surprise, exogeneity and contagion ⋮ Efficient simulation of Lévy-driven point processes ⋮ Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion ⋮ Case-cohort analysis of clusters of recurrent events ⋮ CDS pricing with fractional Hawkes processes ⋮ Transient analysis of an affine queue-Hawkes process ⋮ A switching microstructure model for stock prices ⋮ Closed-form likelihood estimation for one type of affine point processes ⋮ Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time ⋮ A set-valued Markov chain approach to credit default ⋮ Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator ⋮ PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL ⋮ The limits of statistical significance of Hawkes processes fitted to financial data ⋮ Portfolio credit risk with predetermined default orders ⋮ Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering ⋮ TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK ⋮ Central Limit Theorem for Nonlinear Hawkes Processes ⋮ Limit theorems for nearly unstable Hawkes processes ⋮ Limit theorems for discrete Hawkes processes ⋮ Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis ⋮ A contagion process with self-exciting jumps in credit risk applications
This page was built for publication: Affine Point Processes and Portfolio Credit Risk
