Computational techniques for basic affine models of portfolio credit risk

DOI10.21314/JCF.2009.200zbMath1178.91210OpenAlexW2182543376MaRDI QIDQ3639928

Andreas Eckner

Publication date: 26 October 2009

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2009.200

zbMATH Keywords

market frictionscredit derivativesGaussian copulaportfolio loss distributionAndersen-Sidenius-Basu algorithmcorporate defaults

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

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FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION ⋮ Orthogonal expansions for VIX options under affine jump diffusions ⋮ Robust analysis of default intensity ⋮ A Multivariate Default Model with Spread and Event Risk ⋮ Density approximations for multivariate affine jump-diffusion processes ⋮ An analytical approach for systematic risk sensitivity of structured finance products ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models ⋮ Pricing CDOs with state-dependent stochastic recovery rates

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