Up and down credit risk

DOI10.1080/14697680903382776zbMATH Open1201.91212OpenAlexW2061979654MaRDI QIDQ3064015FDOQ3064015

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

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zbMATH Keywords

financial mathematicscredit riskcomputational financemodel calibration

Mathematics Subject Classification ID

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

Cites Work

• Calcul stochastique et problèmes de martingales
• Changes of filtrations and of probability measures
• Title not available (Why is that?)
• The multiplicity of an increasing family of \(\sigma\)-fields
• Pricing and hedging in a dynamic credit model

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
• Title not available (Why is that?)
• 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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