GRAPHICAL MODELS FOR CORRELATED DEFAULTS

DOI10.1111/j.1467-9965.2011.00499.xzbMath1270.91092arXiv0809.1393OpenAlexW2129026643MaRDI QIDQ4919613

Xin Guo, Ismail Onur Filiz, Jason Morton, Bernd Sturmfels

Publication date: 14 May 2013

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

Full work available at URL: https://arxiv.org/abs/0809.1393

zbMATH Keywords

Ising modelgraphical modelsalgebraic statisticsdefault dependencenormal copulacorrelated defaultcorrelation smiletoric models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Long-range Ising model for credit portfolios with heterogeneous credit exposures ⋮ Nonexistence of Markovian time dynamics for graphical models of correlated default ⋮ Credit risk contagion based on asymmetric information association

Uses Software

• CreditRisk+

Cites Work

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• Algebraic Statistics for Computational Biology
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• Credit risk: Modelling, valuation and hedging

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