Two-dimensional Markovian model for dynamics of aggregate credit loss

DOI10.1016/S0731-9053(08)22010-4MaRDI QIDQ3572020zbMATH OpenFDO

Authors A. V. Lopatin, Timur Misirpashaev

Publication date 30 June 2010

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

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)

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• SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
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Cited in

(9)

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

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