Affine point processes and portfolio credit risk
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Publication:3055867
DOI10.1137/090771272zbMATH Open1200.91296OpenAlexW3121146574MaRDI QIDQ3055867FDOQ3055867
Authors: Eymen Errais, Kay Giesecke, Lisa R. Goldberg 
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
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Hawkes processaffine jump diffusioncorrelated defaultself-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)
Cited In (only showing first 100 items - show all)
- Pricing credit derivatives in a Markov-modulated reduced-form model
- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
- Pricing insurance premia: a top down approach
- CDS pricing with fractional Hawkes processes
- Exchange options under clustered jump dynamics
- A set-valued Markov chain approach to credit default
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm
- Clustered Lévy processes and their financial applications
- Structural credit risk modelling with Hawkes jump diffusion processes
- Asymptotic results for a class of Markovian self-exciting processes
- Limit theorems for Markovian Hawkes processes with a large initial intensity
- Simulating risk contributions of credit portfolios
- Pricing default events: surprise, exogeneity and contagion
- Self-exciting jump processes with applications to energy markets
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Modelling of limit order books by general compound Hawkes processes with implementations
- Limit theorems for non-Markovian marked dynamic contagion processes
- Efficient simulation of clustering jumps with CIR intensity
- Limit theorems for the compensator of Hawkes processes
- A bivariate shot noise self-exciting process for insurance
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- Limit theorems for inverse process \(T_n\) of Hawkes process
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
- Limit theorems for discrete Hawkes processes
- Constant proportion portfolio insurance strategies in contagious markets
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes
- Bond and option pricing for interest rate model with clustering effects
- Large deviations and applications for Markovian Hawkes processes with a large initial intensity
- Constant proportion debt obligations (CPDOs): modeling and risk analysis
- Moderate deviations for marked Hawkes processes
- Pricing power exchange options with Hawkes jump diffusion processes
- A multivariate default model with spread and event risk
- Pricing credit from the top down with affine point processes
- Interbank credit risk modeling with self-exciting jump processes
- A Markov modulated dynamic contagion process with application to credit risk
- Estimating jump-diffusions using closed-form likelihood expansions
- The microstructural foundations of leverage effect and rough volatility
- 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
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- Default clustering in large portfolios: typical events
- Case-cohort analysis of clusters of recurrent events
- A dynamic contagion process
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- Computational techniques for basic affine models of portfolio credit risk
- Limit theorems for nearly unstable Hawkes processes
- Credit portfolio selection with decaying contagion intensities
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing
- Mutual excitation in Eurozone sovereign CDS
- Latent self-exciting point process model for spatial-temporal networks
- Asymptotics for an extended inverse Markovian Hawkes process
- Asymptotics for Hawkes processes with large and small baseline intensities
- Central limit theorem for nonlinear Hawkes processes
- Transient analysis of an affine queue-Hawkes process
- Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- Limit theorems for an inverse Markovian Hawkes process
- An estimation procedure for the Hawkes process
- A model for interest rates with clustering effects
- Shot-noise processes in finance
- Direct Likelihood Evaluation for the Renewal Hawkes Process
- Precise deviations for Hawkes processes
- Risk premia and optimal liquidation of credit derivatives
- A general framework for time-changed Markov processes and applications
- Credit risk modeling with affine processes
- Transform analysis for point processes and applications in credit risk
- Modelling social media contagion using Hawkes processes
- Affine point processes: approximation and efficient simulation
- An ephemerally self-exciting point process
- Limit theorems for Hawkes processes with uniform immigrants
- A test for independence between a point process and an analogue signal
- A recursive method for fractional Hawkes intensities and the potential approach of credit risk
- Modeling multivariate extreme events using self-exciting point processes
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- The limits of statistical significance of Hawkes processes fitted to financial data
- Computation of VaR for portfolios in intensity models
- An expansion formula for Hawkes processes and application to cyber-insurance derivatives
- EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
- Limit theorems for an extended inverse Hawkes process with general exciting functions
- A self-exciting switching jump diffusion: properties, calibration and hitting time
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
- A contagion process with self-exciting jumps in credit risk applications
- The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions
- Recursive computation of the Hawkes cumulants
- Portfolio credit risk with predetermined default orders
- Hierarchy of temporal responses of multivariate self-excited epidemic processes
- Study of discrete-time Hawkes process and its compensator
- Efficient simulation of Lévy-driven point processes
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- A palm space approach to non-linear Hawkes processes
- Transform analysis for Hawkes processes with applications in dark pool trading
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing
- Interest Rates Term Structure Models Driven by Hawkes Processes
- Moments for Hawkes processes with gamma decay kernel functions
- Propagation of spiking moments in linear Hawkes networks
- Matrix calculations for moments of Markov processes
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Market impact as anticipation of the order flow imbalance
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