A GENERAL FRAMEWORK FOR PRICING CREDIT RISK

DOI10.1111/j.0960-1627.2004.t01-1-00193.xzbMath1134.91395OpenAlexW3124968746MaRDI QIDQ4673845

Dennis Pak Shing Wong, Alain Bélanger, Steven E. Shreve

Publication date: 9 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.t01-1-00193.x

Mathematics Subject Classification ID

Related Items (32)

General dynamic term structures under default risk ⋮ Pricing and trading credit default swaps in a hazard process model ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Optimal investment and consumption with default risk: HARA utility ⋮ Relations between stochastic and partial differential equations in Hilbert spaces ⋮ Dynamic credit investment in partially observed markets ⋮ PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES ⋮ A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT ⋮ Generalized Cox model for default times ⋮ Representation for martingales living after a random time with applications ⋮ The martingale problem method revisited ⋮ Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market ⋮ Optimal portfolio and consumption selection with default risk ⋮ Dynamic investment and counterparty risk ⋮ Robust Optimization of Credit Portfolios ⋮ Bilateral credit valuation adjustment for large credit derivatives portfolios ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS ⋮ Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem ⋮ PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ Number of paths versus number of basis functions in American option pricing ⋮ Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes ⋮ A Generalized Intensity-Based Framework for Single-Name Credit Risk ⋮ Portfolio optimization of credit swap under funding costs ⋮ Affine processes beyond stochastic continuity ⋮ No Arbitrage Theory for Bond Markets ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK ⋮ Portfolio credit risk with predetermined default orders ⋮ Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

Cites Work

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• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Hazard rate for credit risk and hedging defaultable contingent claims
• Multiple Ratings Model of Defaultable Term Structure
• On Models of Default Risk
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Credit risk: Modelling, valuation and hedging
• Credit risk valuation. Methods, models, and applications.

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