A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

DOI10.1142/S0219024908004762MaRDI QIDQ3521602zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.1142/S0219024908004762

zbMATH Keywords

conditional Markov processdynamic copuladynamic model of CDOsleveraged super-senioroption on CDO trancheoptions on tranchesportfolio lossSPA model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Dynamic credit models
• 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

Cites work

• An arbitrage theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Calibrating volatility surfaces via relative-entropy minimization
• On the term structure of loss distributions: a forward model approach
• 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

Cited in

(23)

• Dynamics of multivariate default system in random environment
• Forecasting credit losses with the reversal in credit spreads
• Pricing insurance premia: a top down approach
• Background filtrations and canonical loss processes for top-down models of portfolio credit risk
• On a Heath-Jarrow-Morton approach for stock options
• Forward equations for option prices in semimartingale models
• Reduced-form framework for multiple ordered default times under model uncertainty
• Notes on exact and semi-exact Lévy models for the valuation of CDOs
• Doubly stochastic CDO term structures
• Dynamic CDO term structure modeling
• TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
• Calibration of financial models using quasi-Monte Carlo
• Two-dimensional Markovian model for dynamics of aggregate credit loss
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• Index options and volatility derivatives in a Gaussian random field risk-neutral density model
• A multivariate default model with spread and event risk
• Recovering portfolio default intensities implied by CDO quotes
• Graphical models for correlated defaults
• Portfolio credit risk with predetermined default orders
• Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
• Copula dynamics in CDOs
• Invariant cones for jump-diffusions in infinite dimensions

This page was built for publication: A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3521602)