Pricing and hedging of credit derivatives in a model with interacting default intensities: A Markovian approach.

zbMATH Open1175.91005MaRDI QIDQ3394435FDOQ3394435

Authors Jochen Backhaus

Publication date 31 August 2009

zbMATH Keywords

hedgingportfolio credit riskcredit derivativesMarkov chain modelcredit events

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Microeconomic theory (price theory and economic markets) (91B24)

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(8)

• A top-down approach to multiname credit
• Credit risk modelling: intensity based approach
• Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
• Credit risk: Modeling and numerical simulation
• Hedging default risks of CDOs in Markovian contagion models
• Price discovery in the markets for credit risk: a Markov switching approach
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion

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