Efficient hybrid methods for portfolio credit derivatives

DOI10.1080/14697680600696312MaRDI QIDQ3437389zbMATH OpenOpenAlexFDO

Authors

Publication date 9 May 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680600696312

zbMATH Keywords

basket credit default swapsCDO squared distributionsheterogeneous portfolioshybrid algorithmsnormal approximations

Mathematics Subject Classification ID

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Cited in

(11)

• Pricing basket default swaps using quasi-analytic techniques
• Analytical methods for hedging systematic credit risk with linear factor portfolios
• Sensitivity estimates for portfolio credit derivatives using Monte Carlo
• Design of financial CDO squared transactions using constraint programming
• The kth default time distribution and basket default swap pricing
• Efficient frontier cutoff policies in credit portfolios
• Hybrid Monte Carlo methods in credit risk management
• Discovery of Risk-Return Efficient Structures in Middle-Market Credit Portfolios
• Contagion models a la carte: which one to choose?
• Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events
• Basket CDS pricing with interacting intensities

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