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)

zbMATH Keywords

portfolio lossdynamic copulaconditional Markov processSPA modeldynamic model of CDOsleveraged super-senioroption on CDO trancheoptions on tranches

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) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

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• 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)

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

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