Aggregating sectors in the infectious defaults model

DOI10.1088/1469-7688/4/1/006MaRDI QIDQ4647597zbMATH OpenOpenAlexFDO

Authors Ola Hammarlid

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/4/1/006

zbMATH Keywords

portfoliocredit riskinfectious defaults model

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Recommendations

• On infectious model for dependent defaults
• An extension of Davis and Lo's contagion model
• Valuation of portfolio loss derivatives in an infectious model
• Modelling default contagion using multivariate phase-type distributions
• Credit risk model with contagious default dependencies affected by macro-economic condition

Cites work

• Credit risk: Modelling, valuation and hedging

Cited in

(3)

• On infectious model for dependent defaults
• Valuation of portfolio loss derivatives in an infectious model
• Default and aggregate income

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