Pricing and hedging in a dynamic credit model

DOI10.1142/S0219024907004408MaRDI QIDQ5169987zbMATH OpenWikidataFDO

Authors Youssef Elouerkhaoui

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/S0219024907004408

zbMATH Keywords

asymptotic series expansioncommon Poisson shocksdynamic copuladynamic hedgingforward skewFöllmer-Sondermann approachmarked point processmarket incompletenessMarshall-Olkin modelquadratic risk minimizationtop-down approach

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• Analytical value-at-risk with jumps and credit risk
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

Cited in

(22)

• Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• XVA metrics for CCP optimization
• Dynamic hedging of portfolio credit risk in a Markov copula model
• Exogenous shock models: analytical characterization and probabilistic construction
• A Marshall-Olkin type multivariate model with underlying dependent shocks
• Up and down credit risk
• Dynamic hedging of portfolio credit derivatives
• SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
• scientific article; zbMATH DE number 2151388 (Why is no real title available?)
• XVA principles, nested Monte Carlo strategies, and GPU optimizations
• Hedging portfolio loss derivatives with CDS's
• Stochastic approximation schemes for economic capital and risk margin computations
• XVA analysis from the balance sheet
• BIVARIATE MARSHALL–OLKIN EXPONENTIAL SHOCK MODEL
• Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
• Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
• A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
• A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
• Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
• State dependent correlations in the Vasicek default model

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