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

DOI10.1016/J.INSMATHECO.2016.10.004MaRDI QIDQ506065zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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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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