Two-dimensional Markovian model for dynamics of aggregate credit loss

DOI10.1016/S0731-9053(08)22010-4zbMATH Open1189.91214MaRDI QIDQ3572020FDOQ3572020

Authors: A. V. Lopatin, Timur Misirpashaev Edit this on Wikidata

Publication date: 30 June 2010

Published in: Econometrics and Risk Management (Search for Journal in Brave)

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Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cited In (9)

• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• Recovering portfolio default intensities implied by CDO quotes
• Stochastic local intensity loss models with interacting particle systems
• Forward equations for option prices in semimartingale models
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• Testing the Adequacy of Markov Chain and Mover-Stayer Models as Representations of Credit Behavior
• An extension of Davis and Lo's contagion model
• Risk premia and optimal liquidation of credit derivatives

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