A multivariate default model with spread and event risk

DOI10.1080/1350486X.2013.803705MaRDI QIDQ4585901zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai, Pablo Olivares, Steffen Schenk, Matthias Scherer

Publication date 11 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2013.803705

zbMATH Keywords

CDO pricingmultivariate default modelcredit spread volatilitystochastic time-change

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Multiname and multiscale default modeling
• Modelling default contagion using multivariate phase-type distributions
• Shot-noise driven multivariate default models
• A top-down approach to multiname credit
• Pricing and hedging of portfolio credit derivatives with interacting default intensities

Cites work

• scientific article; zbMATH DE number 1466110 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
• A generic one-factor Lévy model for pricing synthetic CDOs
• A theory of the term structure of interest rates
• Affine point processes and portfolio credit risk
• CIID frailty models and implied copulas
• Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
• Computational techniques for basic affine models of portfolio credit risk
• Counterparty risk for credit default swaps: impact of spread volatility and default correlation
• Default clustering in large portfolios: typical events
• Default intensities implied by CDO spreads: inversion formula and model calibration
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Financial Modelling with Jump Processes
• Hedging default risks of CDOs in Markovian contagion models
• Multi-precision Laplace transform inversion
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• The Accurate Numerical Inversion of Laplace Transforms
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(9)

• Modelling default contagion using multivariate phase-type distributions
• Pricing default events: surprise, exogeneity and contagion
• A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
• Dependent defaults and losses with factor copula models
• Multiname and multiscale default modeling
• Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
• A top-down approach to multiname credit
• CIID frailty models and implied copulas
• Shot-noise driven multivariate default models

This page was built for publication: A multivariate default model with spread and event risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4585901)