Time-changed birth processes and multiname credit derivatives

DOI10.1287/OPRE.1080.0652zbMATH Open1233.91264OpenAlexW3125774895MaRDI QIDQ3100403FDOQ3100403

Pascal Tomecek, Kay Giesecke, Xiaowei Ding

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/07b627140a6ae9a37e4b76944be87b6f4cfc79e6

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zbMATH Keywords

risk managementhedgingasset pricingtime changebirth processportfolio credit derivativesself-exciting point processes

Mathematics Subject Classification ID

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

Cited In (19)

• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
• A set-valued Markov chain approach to credit default
• Computation of VaR for portfolios in intensity models
• Population processes sampled at random times
• Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates
• A reduced-form model for correlated defaults with regime-switching shot noise intensities
• Multi-scale time-changed birth processes for pricing multi-name credit derivatives
• Portfolio credit risk with predetermined default orders
• Integro-differential equations linked to compound birth processes with infinitely divisible addends
• RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES
• Expectations of functions of stochastic time with application to credit risk modeling
• Credit risk modeling using time-changed Brownian motion
• Simulating Risk Contributions of Credit Portfolios
• Credit risk model with contagious default dependencies affected by macro-economic condition
• Pricing credit derivatives under a correlated regime-switching hazard processes model
• RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Transform analysis for point processes and applications in credit risk
• Partial information about contagion risk, self-exciting processes and portfolio optimization

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