Up and down credit risk

DOI10.1080/14697680903382776MaRDI QIDQ3064015zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc

Publication date 20 December 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903382776

zbMATH Keywords

financial mathematicscredit riskcomputational financemodel calibration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 802908 (Why is no real title available?)
• Calcul stochastique et problèmes de martingales
• Changes of filtrations and of probability measures
• Pricing and hedging in a dynamic credit model
• The multiplicity of an increasing family of \(\sigma\)-fields

Cited in

(18)

• Dynamic hedging of portfolio credit risk in a Markov copula model
• Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
• A set-valued Markov chain approach to credit default
• A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
• Pricing and hedging in a dynamic credit model
• Portfolio credit risk with predetermined default orders
• A random thinning model with a latent factor for improvement of top-down credit risk assessment
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• scientific article; zbMATH DE number 2151375 (Why is no real title available?)
• Background filtrations and canonical loss processes for top-down models of portfolio credit risk
• A top-down approach to multiname credit
• Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework
• Dynamics of multivariate default system in random environment
• Reduced-form framework for multiple ordered default times under model uncertainty
• A simple top-down approach for pricing portfolio credit derivatives
• A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
• A default system with overspilling contagion

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