scientific article; zbMATH DE number 1775715

MaRDI QIDQ4544440zbMATH OpenFDO

Authors Fehmi Özkan

Publication date 4 August 2002

zbMATH Keywords

credit riskportfoliosGamma distributionsLibor market modelsLévy processes

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70)

Recommendations

• Credit risk in Lévy Libor modeling: rating based approach.
• scientific article; zbMATH DE number 5619427
• Lévy simple structural models
• scientific article; zbMATH DE number 2241893
• STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES
• scientific article; zbMATH DE number 2151382
• Rating based Lévy Libor model
• scientific article; zbMATH DE number 1466110
• Extreme financial risks and asset allocation

Cited in

(24)

• Notes on exact and semi-exact Lévy models for the valuation of CDOs
• Credit risk in Lévy Libor modeling: rating based approach.
• Credit risk with infinite dimensional Lévy processes
• Sample-path large deviations in credit risk
• Clustered Lévy processes and their financial applications
• On Cox processes and credit risky securities
• scientific article; zbMATH DE number 1639858 (Why is no real title available?)
• scientific article; zbMATH DE number 2241893 (Why is no real title available?)
• scientific article; zbMATH DE number 5565446 (Why is no real title available?)
• scientific article; zbMATH DE number 6472298 (Why is no real title available?)
• Lévy simple structural models
• Default prediction with the Merton-type structural model based on the NIG Lévy process
• Minimizing banking risk in a Lévy process setting
• scientific article; zbMATH DE number 5853093 (Why is no real title available?)
• Rating based Lévy Libor model
• An extension of CreditGrades model approach with Lévy processes
• Term structure models driven by general Lévy processes
• scientific article; zbMATH DE number 5619427 (Why is no real title available?)
• Modelling default and prepayment using Lévy processes: an application to asset backed securities
• Credit Derivatives Pricing Based on Lévy Field Driven Term Structure
• ON A RISK PROCESS DRIVEN BY A SUBORDINATOR WITH LIQUID RESERVES, CREDIT AND DEBIT INTEREST
• Risk modelling on liquidations with Lévy processes
• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4544440)