A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
DOI10.1142/S0219024908004762zbMATH Open1211.91246MaRDI QIDQ3521602FDOQ3521602
Authors: J. Sidenius, Vladimir V. Piterbarg, L. Andersen 
Publication date: 26 August 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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- SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
- Recovering portfolio default intensities implied by CDO quotes
- BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
- Two-dimensional Markovian model for dynamics of aggregate credit loss
portfolio lossdynamic copulaconditional Markov processSPA modeldynamic model of CDOsleveraged super-senioroption on CDO trancheoptions on tranches
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- On the uniqueness of solutions of stochastic differential equations
- The Market Model of Interest Rate Dynamics
- Volatility skews and extensions of the Libor market model
- Calibrating volatility surfaces via relative-entropy minimization
- On the term structure of loss distributions: a forward model approach
- An arbitrage theory of the term structure of interest rates
Cited In (23)
- Notes on exact and semi-exact Lévy models for the valuation of CDOs
- Pricing insurance premia: a top down approach
- Recovering portfolio default intensities implied by CDO quotes
- Forecasting credit losses with the reversal in credit spreads
- Two-dimensional Markovian model for dynamics of aggregate credit loss
- TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
- Forward equations for option prices in semimartingale models
- Index options and volatility derivatives in a Gaussian random field risk-neutral density model
- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
- Portfolio credit risk with predetermined default orders
- A multivariate default model with spread and event risk
- BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
- Graphical models for correlated defaults
- Invariant cones for jump-diffusions in infinite dimensions
- Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
- Dynamic CDO term structure modeling
- Background filtrations and canonical loss processes for top-down models of portfolio credit risk
- Calibration of financial models using quasi-Monte Carlo
- Dynamics of multivariate default system in random environment
- Reduced-form framework for multiple ordered default times under model uncertainty
- On a Heath-Jarrow-Morton approach for stock options
- Copula dynamics in CDOs
- Doubly stochastic CDO term structures
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