A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches

DOI10.1016/J.INSMATHECO.2016.10.004zbMATH Open1394.91335OpenAlexW2536555724MaRDI QIDQ506065FDOQ506065

Authors: Catalin Cantia, Radu Tunaru 

Publication date: 31 January 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/89499/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_CDO_MS2016_RR_prop.pdf

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zbMATH Keywords

time-changeCDS pricingcredit index pricingmean-reverting process with jumpstranche pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Cites Work

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• Title not available (Why is that?)
• Note on the inversion theorem
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• Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
• The loss given default of a low-default portfolio with weak contagion

Cited In (8)

• Large portfolio losses in a turbulent market
• Common factors in credit defaults swap markets
• Credit risk modeling using time-changed Brownian motion
• LLN-type approximations for large portfolio losses
• The crash-NIG factor model
• A mixed PDE-Monte Carlo approach for pricing credit default index swaptions
• Credit gap risk in a first passage time model with jumps
• Pricing basket default swaps in a tractable shot noise model

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