Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names

DOI10.1142/S0219024907004342MaRDI QIDQ5169978zbMATH OpenFDO

Authors Damiano Brigo, Andrea Pallavicini, Roberto Torresetti

Publication date 17 July 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024907004342

zbMATH Keywords

calibrationcluster default dynamicscommon Poisson shock modelsgeneralized Poisson processesloss distributionsingle name default dynamicsspread dynamicsstochastic intensity

Mathematics Subject Classification ID

Reliability and life testing (62N05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Statistical methods; risk measures (91G70)

Recommendations

• Default clustering in large portfolios: typical events
• Dependent defaults and losses with factor copula models
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• Dynamic credit models
• A multivariate default model with spread and event risk

Cites work

• An Extension of Panjer's Recursion
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

Cited in

(13)

• Dependent defaults and losses with factor copula models
• Pricing insurance premia: a top down approach
• Dynamic hedging of portfolio credit risk in a Markov copula model
• Local volatility dynamic models
• Reduced-form framework for multiple ordered default times under model uncertainty
• Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
• A reduced-form model for correlated defaults with regime-switching shot noise intensities
• From insurance risk to credit portfolio management: a new approach to pricing CDOs
• Recovering portfolio default intensities implied by CDO quotes
• Probability density of recovery rate given default of a firm's debt and its constituent tranches
• A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
• scientific article; zbMATH DE number 7660127 (Why is no real title available?)
• Pricing CDS index tranches under thinning-dependence structure with regime switching

This page was built for publication: Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5169978)