Recovering portfolio default intensities implied by CDO quotes
DOI10.1111/J.1467-9965.2011.00491.XzbMATH Open1282.91354OpenAlexW3124160426MaRDI QIDQ4906515FDOQ4906515
Authors: Rama Cont, Andreea Minca 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00491.x
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inverse problemdualityrelative entropystochastic controldefault riskmodel calibrationcollateralized debt obligationportfolio credit derivativesintensity controlreduced-form modelstop-down credit risk models
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Credit risk (91G40) Optimal stochastic control (93E20)
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Cited In (27)
- Equity correlations implied by index options: estimation and model uncertainty analysis
- A set-valued Markov chain approach to credit default
- A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- Stochastic local intensity loss models with interacting particle systems
- Default intensities implied by CDO spreads: inversion formula and model calibration
- Forward equations for option prices in semimartingale models
- Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
- Portfolio credit risk with predetermined default orders
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Robust risk measurement and model risk
- Pricing credit from the top down with affine point processes
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- Utility valuation of multi-name credit derivatives and application to CDOs
- Dynamic CDO term structure modeling
- Dynamics of multivariate default system in random environment
- Reduced-form framework for multiple ordered default times under model uncertainty
- Valuation of portfolio loss derivatives in an infectious model
- An extension of Davis and Lo's contagion model
- Measure distorted arrival rate risks and their rewards
- From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
- Doubly stochastic CDO term structures
- Interacting default intensity with a hidden Markov process
- Implied default probability and credit derivatives
- Mimicking finite dimensional marginals of a controlled diffusion with jumps
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