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)

zbMATH Keywords

marked point processdynamic hedgingcommon Poisson shocksMarshall-Olkin modeltop-down approachdynamic copulaasymptotic series expansionmarket incompletenessquadratic risk minimizationFöllmer-Sondermann approachforward skew

Mathematics Subject Classification ID

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

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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)

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

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